Begin a sentence with "They say that....", and you've lost me. AAAHHH!! Who are 'they' and why should you or I care at all what they said? Cite an author, quote a friend, tell me a story with names and faces that are trustworthy - then I'm in. I'm listening with all of me.
Or be honest and say "I think that...." That'll work, too. Don't put the onus on some wholly unaccountable "they."
But just to be clear: I do not give a hoot what "they" say.