Unsurprisingly, among the first and finest examples of this is none other J.R.R. Tolkien himself. Here are some of the best examples:
"He that breaks a thing to find out what it is has left the path of wisdom."
"Valour needs first strength, and then a weapon."
"Faithless is he that says farewell when the road darkens."
"Perilous to us all are the devices of an art deeper than we possess ourselves."
"Often does hatred hurt itself."
Another fine example, and one who directly uses the term proverbs and makes them a more integral part of the story than Tolkien, is Mercedes Lackey. She literally created dozens for her invented Shin'a'in (People of the Plains) and Tale'edras (Hawkbrother) cultures. Lackey's proverbs are notable in that they are reminiscent to those of Ancient Asia – e.g. "Just because you feel certain an enemy is lurking behind every bush, it doesn’t follow that you are wrong" is like to "Before telling secrets on the road, look in the bushes."
Other fine examples of quotes from the wondrous world of Velgarth are as follows:
|"My people have a saying..."|
"Knowledge will always be the best weapon against tyrants."
"Professionals are predictable, but the world is full of amateurs."
"You cannot have a battle without getting your fur in a mess."
"If it gets caught, it deserves to be eaten."
"That was then, this is now; the moment is never the same twice."
I have also heard that C. S. Lewis created a dozen proverbs in The Horse and His Boy, a book in his The Chronicles of Narnia series. However, as I have never read The Horse and His Boy I can provide no examples.