Risk management is a vital activity to ensure employee safety in construction projects. Various documents provide important supporting evidence, including details of previous incidents, consequences and mitigation strategies. Potential hazards may depend on a complex set of project-specific attributes, including activities undertaken, location, equipment used, etc. However, finding evidence about previous projects with similar attributes can be problematic, since information about risks and mitigations is usually hidden within and may be dispersed across a range of different free text documents. Automatic named entity recognition (NER), which identifies mentions of concepts in free text documents, is the first stage in structuring knowledge contained within them. While developing NER methods generally relies on annotated corpora, we are not aware of any such corpus targeted at concepts relevant to construction safety. In response, we have designed a novel named entity annotation scheme and associated guidelines for this domain, which covers hazards, consequences, mitigation strategies and project attributes. Four health and safety experts used the guidelines to annotate a total of 600 sentences from accident reports; an average inter-annotator agreement rate of 0.79 F-Score shows that our work constitutes an important first step towards developing tools for detailed semantic analysis of construction safety documents.