With which political party does Malcolm X most closely identify?

Malcolm X did not claim to identify with any political party. He even went so far as to criticize the Democratic Party.

"The [Democratic] Party that you backed controls two-thirds of the House of Representatives and the Senate, and still they can't keep their promise to you, 'cause you're a chump. Anytime you throw your weight behind the political party that controls two-thirds of the government, and that Party can't keep the promise that it made to you during election time, and you're dumb enough to walk around continuing to identify yourself with that Party, you're not only a chump, but you're a traitor to your race."

Malcolm X also condemned welfare. He believed, like Republicans, that enterprise and the creation of business would allow the black people to stand apart.... to stand on their own. This does not, however, mean he aligned himself with republicans.