We obtain distances to 383 Galactic Wolf-Rayet (WR) stars from Gaia DR2 parallaxes and Bayesian methods, with a prior based on HII regions and dust extinction. Distances agree with those from Bailer-Jones et al. for stars up to 2kpc from the Sun, though deviate thereafter due to differing priors, leading to modest reductions in luminosities for recent WR spectroscopic results. We calculate visual and K-band absolute magnitudes, accounting for dust extinction contributions and binarity, and identify 187 stars with reliable absolute magnitudes. For WR and O stars within 2kpc, we find a WR/O ratio of 0.09. The distances are used to generate absolute magnitude calibrations and obtain the Gaia colour-magnitude diagram for WR stars. Average vWR-band absolute magnitudes for WN stars range from -3.6 mag (WN3-4) to -7.0mag (WN8-9ha), and -3.1(WO2-4) to -4.6mag (WC9), with standard deviations of ~0.6mag. Using HII region scale heights, we identify 31 WR stars at large (3{sigma}, |z|>=156pc) distances from the mid-plane as potential runaways accounting for the Galactic warp, of which only four involve WN8-9 stars, contrary to previous claims.