We investigate the role of preferences for risk on health and sexual behaviours of female sex workers in Senegal using primary data collected from 592 sex workers in 2017. Preferences for risk were measured using simple incentivised risk elicitation tasks as well as domain-specific risk-taking scales. Our main result indicates that risk preferences are a main predictor of sex workers' health and behaviours. We find that risk averse sex workers demand more preventive services and are less likely to engage in risky sex and, as a result, are less likely to be infected with sexually transmitted infections, including HIV/AIDS. Hence, our results confirm the role of risk preferences in the spread of HIV/AIDS epidemic.