I recently saw a picture of FD Roosevelt in Sicily alongside Patton and Eisenhower dated 1943. This got me reading about the Cairo and Tehran conferences as well as some of Stalin's diplomatic trips around the continent. How did they move these guys around safely? To my understanding German U-boats remained a threat until the end of the war and transatlantic passenger flights were a relatively new thing. How did they get a guy like Roosevelt safely to England and then around the Medditerranean? Would there have been any risk of motorcades or trains being bombed by the Luftwaffe?
Were they just risk tolerant or was there safe methods for the movement of VIPs?
This depended on the conference in question.
Regarding air travel, this was used, but only for a few conferences. Roosevelt used a VC-54C for the 1945 Yalta Conference, a modified cargo aircraft turned VIP transport (hence VC) that among other amenities included an elevator for his wheelchair (photo 11). The National Air and Space museum page also states Roosevelt used a Clipper for the 1943 Casablanca Conference, becoming the first president to fly while in office.
Another common method was by ship. The standard was a battleship, with Prince of Wales transporting Churchill to the 1941 Atlantic conference in Newfoundland (Roosevelt took a cruiser), with Duke of York taking him to Washington in December 1941 in her first major sortie. Roosevelt also traveled aboard Iowa across the Atlantic to the Tehran and Cairo conferences, a trip most famous for the destroyer William D. Porter almost torpedoing the ship on accident, while Churchill took the battlecruiser Renown.
These were very fast ships, capable of 27 knots in good weather, and that is important. U-boats, as with all submarines of the period, were slow on the surface (in this case under 20 knots) and even slower submerged (7-8 knots). If a U-boat happened to stumble across these ships, they only had one chance to fire, as they could not get ahead for another shot. These ships did not travel alone, though it is often more difficult to track down the escorts. Moreover, they were the best protected against a torpedo attack, and in WWII battleships survived many torpedo attacks: here is the damage report for North Carolina, struck by a submarine torpedo, which states "the ship generally absorbed the damage without serious effect or marked loss in fighting efficiency." Uboat.net lists five battleships struck by torpedoes, none a modern fast battleship, with three damaged and repaired, and of the ones sunk Royal Oak was in Scapa Flow. It was also easy to avoid the most traveled U-boat routes, Iowa went rather far south, and even when Engima could not be read any radio message gave away a submarine's position, so the Allied flotilla could avoid them (or hunt them down).
I do not have good references on Stalin's travels, and this is far from an exhaustive list. But hopefully it is enough to answer your question.