(a) What is the difference between he said something and he mentioned something? Can they be used interchangeably?
(b) Is it proper to respond to Did I tell you X? with Yes, you mentioned it?
Any place where you would use "mention" you could probably also use "said" (which is more general), but the reverse doesn't apply. Mention is less substantial -- a passing reference, a brief comment, a name on a list, that sort of thing.
This example is primarily about lifestyle changes and reports a passing reference to something else the speaker might want to attend to.
Per your second question, yes, saying "you mentioned it" is generally appropriate.
(a) Ordinarily, choosing between these two phrases comes down to personal preference and context; their meanings are quite similar, with usages differing as suggested by Monica.
As a first example of context, in a long narrative said typically will appear far more frequently than mentioned, as short, one-syllable words can be used repeatedly without calling attention to themselves, unlike obstropulous multisyllabics. As a second example, in the context of The Anglish Moot, said is de rigueur, being from Old English with Old Saxon roots, while mentioned is from Old Latin via Old French. Also see Wikipedia on Anglo-Saxon linguistic purism.
As an example of preference, in Politics and the English Language, Orwell advises "(ii) Never use a long word where a short one will do", but tempers that advice with "(vi) Break any of these rules sooner than say anything outright barbarous."