If the character appeared in a published work before 1923, then he is PD in the United States for sure. Just make sure you don't use aspects of the character that were specified in works published after 1923.
Remember, just because you can't find the copyright owner online, doesn't mean they won't find you. They may have even tried to register the trademark for movie use, so you should do your research, just to be sure.
My guess would be that this character is so long forgotten that there is no trademark protection, and nobody would really care...especially if this is a small independant film. But if you're planning a 150 million dollar summer tent pole film, then you should probably make sure you don't cross the line on any protected aspects of the character.
And yeah, I'm pretty sure the Saint is protected.