Please let me know if I said anything wrong.
Quite ironcally (I think!), you've correctly used one of the structures you've asked about.
Look at these patterns:
1a)
to do/say something wrong
This is used to mean you do something
incorrectly or
in the wrong way. Here's an example of someone talking about using a tool:
You're doing it wrong. Hold it more firmly and twist as you go.
1b)
to do/say something wrong
Alternatively, this pattern is used to mean that you do something in way that might
hurt or offend someone else. Here's an example:
You look upset. Did I say something wrong?
Don't confuse those, however, with:
2)
to do wrong
This means you do something which is
morally or ethically forbidden or unacceptable.
(Note that
to say wrong is not right.)