In the first period of the war, for situations like this, there developed what became known as "contraband policy". The policy was first implemented by Gen. Butler in Virginia after several slaves escaped to his lines, and the owners audaciously requested their return. Union policy at the time was to not make Emancipatory statement which might irk the still loyal border states, but returning the slaves was not something Butler would stomach. So essentially, he split the difference. The policy, as the name might allude to, acknowledged the legality of slavery, yet formulated a mechanism by which they did not have to be returned, by claiming that they were property confiscated from their owners in wartime. It was considered a legitimate military practice with property, generally, so why not human chattel as well?

Butler's move was quite popular, and the government soon gave it official approval, so it was copied elsewhere too. The 'contrabands' themselves - as the escapees were known - were provided for, and utilized for manual labor in the military camps, and paid for their work. Much was still up in the air though, and Congress was hesitant to make broad policy on this front to clarify, and the Confiscation Act passed in August, 1861 to back the policy didn't do much to help. It wouldn't be until the Emancipation Proclamation that there was absolute clarity as to their status as freedmen.

All from McPherson's "Battle Cry of Freedom"