I don't think they all made it there. Yalta, in the Crimea, hosted a big conference. The Vorontsovskiy palace just south of Yalta was the British lodging, and tour guides there will point out the chair that Winnie supposedly burned with a cigar while dozing.
While there Winnie also sought out a battlefield near Sevastopol, where ninety or so years earlier the British made a fruitless yet colorful charge made famous by Tennyson. Ever mindfull of history, even while he was in the process of creating it, Churchill laid a wreath at the monument there.
FDR? Despite assuring Churchill that "I can handle Stalin", spent most of his time in Yalta asleep. Another argument for term limits.