They did risk getting torpedoed! Or at least Churchill did. Churchill first travelled to Washington during the war to sign the Atlantic Charter with Roosevelt, before the US entry. He did so aboard the HMS Prince of Wales, a battleship, and with three destroyer escorts. Certainly not immune to torpedoes, but a formidable target.

By 1942 (I'm not sure how many journeys he took to America between '39 and 42) Churchill made his fist trans-atlantic flight return from Bermuda. He would travel for most other such international trips by air for the remainder of the war.

As did Roosevelt.

Stalin, as I understand it, hated flying and so only met where he could meet by train.