Arearadar: This is the old adage that is often mentioned when one reads the memoirs of former WW2 bomber pilots and I believe was taught at the time. This probably had a lot to do with very marginal rudder authority on these old types plus the slipstream effect on the "good wing" which may indeed make it safer to turn into the live engine rather than risk loosing rudder authority if too much bank were to be applied towards the "dead"wing.
As other posters have mentioned, Vmca can be critically affected. After the BEAtours B707-436 training accident the CAA carried out Vmca testing which showed that for that mark, the Vmca was increased by 20kts with a wings level climbout versus one with 5 degrees of bank into the live side as was used during certification. I still have the Bulletin in my archives!