I think the song your talking about is : Black Sheep - "The Choice is Yours" The Lyrics are: Who's the Black Sheep, what's the Black Sheep? Don't know who I am, or when I'm coming so you sleep Wasn't...
"Sad to say" is the correct phrase.
Example usage: I'm sad to say (that) Mary cannot join us for dinner.
OR
Example usage: I'm sad to say (that) Mary cannot have dinner with us.
Use "sad to say"...