Where in the book does hagrid say i should not have said that?

You're likely thinking of the scene in Harry Potter and the Sorcerer's Stone where Hagrid says "I should not have said that."

The exact quote is:

"“But, er — ” Hagrid looked flustered. “There’s — there’s a few things yeh need ter know, an’ I should not have said that.”

The scene takes place in chapter 5, "Diagon Alley." It happens just after Hagrid tells Harry about the Sorcerer's Stone and how Voldemort wants to steal it.

Let me know if you have any other Harry Potter questions!