I believe it was Teddy Roosevelt - but it's not as simple as that...
At an airshow at Aviation Field in St. Louis, Missouri on October 11, 1910, Theodore Roosevelt was offered a seat as a passenger in a plane for a demonstration flight. The pilot's name was Arch Hoxsey, who had just completed a record flight from Springfield, Illinois. The plane reached an altitude of about 50 feet, circled the field twice and stayed airborne for about four minutes. TR said he wished they could have stayed in the air for an hour. Arch Hoxsey was killed in a plane crash on December 31, 1910. This flight made TR the first President to fly in a plane. There is a picture of him strapping himself in that does look as though he was the pilot, but he was not.
Taken from
http://www.theodoreroosevelt.org/life/firsts.htm
However, although he was 'President Roosevelt' at this point, he wasn't in office, having been replaced by William Taft.
In which case, I'm pretty sure it'd be FDR (as suggested) flying to the Casablanca Conference.