I'm so glad to see this thread. I have used this expression all my life, it seems, and I found out lately that nobody in the US knows what it means. It is used in British books as the equivalent of the American Tell me something I don't know or No shit, Sherlock, or something of that nature. person A says something obvious or gives unnecessary advice, and the rejoinder is Teach your grandmother to suck eggs, or don't try to teach your grandmother to suck eggs, or something.