I was doing some reading on the Russian revolution and came across a lot of references to meetings in European cities outside of Russia. If the Russian Social Democratic Labour Party (RSDLP) wanted to help the proletariat in Russia, why wouldn't they call for these meetings on Russian territory? Russia is a huge country with plenty of remote towns and cities where they could have been safe from the Tzar and his army.
Additionally, was it that easy to obtain a Visa to get out of Russia back then? Could you just cross the borders without any permission from other nations? Were the governments of Great Britain and France on bad terms with the Tzar and his regime? Why were they allowing these huge meetings and conferences to happen in their cities?
France and the UK weren't particularly happy about having a bunch of Russian socialists descend on their capitals, but both countries were at the time fairly committed to the ideal of classic liberalism, which meant that as long as the socialists didn't commit any crimes and arrived legally, they couldn't arrest them or turn them away. The British and French political police kept an eye on these gatherings, often fairly conspicuously, and would doubtless have swooped if anything illegal had happened, but the revolutionaries (and just as importantly, their local sponsors) were aware of this risk and kept things civilised.
The UK and (especially) France had good relations with Russia at this time, but not to the extent that they would compromise the liberalism that they were so proud of on behalf of the Czar.
As to why they didn't meet in Russia, you have to realise a lot of these revolutionaries were already in exile. They didn't pop out of Russia for a meeting in London and then head back. For example, during the Russian Socialist conference in London in 1907, Lenin was living in Switzerland at the time and had been living outside Russia since 1900 (he'd previously lived in London and Munich). Other attendees included Litvinov (who lived in Paris and had since 1906), Trotsky, who had been living in Vienna since earlier in 1907, Theodore Rothstein, who'd been in London since 1890, Julius Martov, who lived in Germany, etc etc.
Due to harassment by the Czarist regime a lot of socialists had left Russia for their own reasons. Some left voluntarily, some were kicked out, some escaped (often on their way to internal exile). This was particularly true after the 1905 revolution. So not only was meeting in London or Stockholm more convenient for the members outside Russia, who were very substantial in numbers, it had practical value, since many of the delegates would have risked being arrested.
It's possible they could have held their meetings secretly in some clandestine location in Russia, but this would have made the whole thing very risky - the Czarist police were alert for just such a thing, there were informers inside the party organisation, and even if they could avoid being arrested the whole thing might have been called off at the last minute.
As for the practicalities of getting in and out of Russia, it wasn't easy for a known socialist. Some socialists were basically allowed to go into exile, but some had to leave and (more riskily) reenter Russia illegally in order to attend these conferences. But even for these people, the risk of slipping in and out of Russia was probably lesser than trying to organise one inside Russia.