At the time the safety measures were unknown. Uranium was used because of its ability to create a wonderfully yellow dye, for instance. From the article on the Curies in the online "Nobel e-Museum' (www.nobel.se):
"...Pierre had prepared an effective finale to the day. When they had all sat down, he drew from his waistcoat pocket a little tube, partly coated with zinc sulfide, which contained a quantity of radium salt in solution. Suddenly the tube became luminous, lighting up the darkness, and the group stared at the display in wonder, quietly and solemnly. But in the light from the tube, Rutherford saw that Pierre's fingers were scarred and inflamed and that he was finding it hard to hold the tube.
Serious Health Problems
A week earlier Marie and Pierre had been invited to the Royal Institution in London where Pierre gave a lecture. Before the crowded auditorium he showed how radium rapidly affected photographic plates wrapped in paper, how the substance gave off heat; in the semi-darkness he demonstrated the spectacular light effect. He described the medical tests he had tried out on himself. He had wrapped a sample of radium salts in a thin rubber covering and bound it to his arm for ten hours, then had studied the wound, which resembled a burn, day by day. After 52 days a permanent grey scar remained. In that connection Pierre mentioned the possibility of radium being able to be used in the treatment of cancer. But Pierre's scarred hands shook so that once he happened to spill a little of the costly preparation. Fifty years afterwards the presence of radioactivity was discovered on the premises and certain surfaces had to be cleaned.
In actual fact Pierre was ill. His legs shook so that at times he found it hard to stand upright. He was in much pain. He consulted a doctor who diagnosed neurasthenia and prescribed strychnine. And the skin on Marie's fingers was cracked and scarred. Both of them constantly suffered from fatigue. They evidently had no idea that radiation could have a detrimental effect on their general state of health. Pierre, who liked to say that radium had a million times stronger radioactivity than uranium, often carried a sample in his waistcoat pocket to show his friends. Marie liked to have a little radium salt by her bed that shone in the darkness. The papers they left behind them give off pronounced radioactivity. If today at the Bibliothèque Nationale you want to consult the three black notebooks in which their work from December 1897 and the three following years is recorded, you have to sign a certificate that you do so at your own risk. People will have to do this for a long time to come. In fact it takes 1,620 years before the activity of radium is reduced to a half.
Rutherford was just as unsuspecting in regard to the hazards as were the Curies. When it turned out that one of his colleagues who had worked with radioactive substances for several months was able to discharge an electroscope by exhaling, Rutherford expressed his delight. This confirmed his theory of the existence of airborne emanations."
They simply didn't KNOW. Marie and Pierre Curie worked with polonium and radium (both of which they discovered), thorium, radon, uranium and others.
Ignorance of the dangers and a passion for knowledge made them heroic. And the ignorance in all probablity ruined Pierre's health and ultimately caused the leukemia that killed Marie -- a fate Pierre would have suffered if the accident hadn't killed him first.