…The Wolves in the Walls being, of course, what Neil Gaiman writes when he sets out to write a children’s novel. In between bouts of laughter, she says This “If the wolves come out of the walls, it’s all over.” thing must be a British saying, or something, and I reply From what I know about Neil Gaiman, it could very well be that he made it up, comfortable in the knowledge that his British readers will assume that it’s an American thing and that his American readers will assume that it’s a British thing.
Which is fine, even if true (I remain deliberately agnostic on the subject): these sayings have to come from somewhere, and Neil Gaiman’s a better source for them than most.
If I had to guess, I would say an actual phrase. Maybe subtle, like the Kipling quotes in Sandman (“The Wind that blows between the Worlds” line used when our hero travels to Hell coming from Tomlinson, for example).