Their misuse of this one really pissed me off when I got my eyes opened:
John 6
67"You do not want to leave too, do you?" Jesus asked the Twelve.
68Simon Peter answered him, "Lord, to whom shall we go? You have the words of eternal life. 69We believe and know that you are the Holy One of God."
Peter made his statement to, and about, Jesus. The WTBS is very found of using this one to keep the flock in line, "where else are you going to go?" is a common refrain.
Frankly I think applying this to themselves is blasphemy.