Oprah -- THIS Is How You Shop, Gayle

Oprah Winfrey followed that old adage ... when in Rome, shop your freaking face off and flaunt your overpriced purchases to the peasants.

The Big O hit up Via Condotti (Rome's way snootier version of Rodeo Drive) with her entourage -- including BFF Gayle King ... and proceeded to drop major Euros in Ermanno Scervino.

Oprah walked out loaded down with 4 huge bags from the high fashion store. Gayle had 1 ... but it's all relative, right?