The phrase "World War 2" was first noted in use in Manchester Guardian on 18 February 1919. It seems that World Wars I & II were named together for the first time by Time magazine on 11 September 1938.
On 27 April 1942 a Gallup Poll indicated that people preferred the term World War II for the ongoing global war. During the war, many Americans also called it as "The War in Europe," or simply, "The War." Noting that the term "World War II" had been used in at least seven public laws to designate this period of hostilities, and that analysis of publications and radio programs indicates that this term had been accepted by common usage, President Truman officially named the war in September 1945.
http://www.globalsecurity.org/military/ops/world_war_4-name.htm