As quoted by John M. Kost http://www.mackinac.org/bio.aspx?ID=104 (25 July 1995) in S. 946, the Information Technology Management Reform Act of 1995: hearing before the Subcommittee on Oversight of Government Management and the District of Columbia of the Committee on Governmental Affairs (1996).
This appears to derive from a 1910 advertisement by writer Alfred Henry Lewis for a forthcoming series of biographical articles about Roosevelt: "All activity, Mr. Roosevelt has often shown that it is better to do the wrong thing than do nothing at all. In politics this last is peculiarly true. The best thing is to do the right thing; the next best is to do the wrong thing; the worst thing of all things is to stand perfectly still". (e.g. in La Follette's Magazine https://books.google.com/books?id=RV4CAAAAIAAJ&pg=PA183&dq=%22best+thing%22+%22right+thing%22+%22worst+thing%22+nothing&hl=en&sa=X&ved=0ahUKEwjNksu-nZrMAhVDy2MKHSl1Df8Q6AEIIzAB#v=onepage&q=%22the%20best%20thing%20is%20to%20do%20the%20right%20thing%22&f=false (28 May 1910)
Disputed
