They say "white". Sometimes "Caucasian" on formal forms and surveys -- even if that has Cossack roots that people forget. (It's a dumb enough term that I joke that I am Asian sometimes: Cauc-Asian.)
There wasn't anything wrong with black until some took issue with it in the 60s. Some believed that "black" had a negative connotation, so it was a way to PC avoid that. However, problem was that the bad stereotypes still followed the people and not the term for them.
Today I sense there being a relaxing of the political correctness of the multi-syllabic "African-American" thing here. "Black" is more widely acceptable again, though in some circles it was never deemed unacceptable. James Brown said it loud, after all in the 70s, he's black and he's proud.