Learning a risk-aware policy is essential but rather challenging in unstructured robotic tasks. Safe reinforcement learning methods open up new possibilities to tackle this problem. However, the conservative policy updates make it intractable to achieve sufficient exploration and desirable performance in complex, sample-expensive environments. In this paper, we propose a dual-agent safe reinforcement learning strategy consisting of a baseline and a safe agent. Such a decoupled framework enables high flexibility, data efficiency and risk-awareness for RL-based control. Concretely, the baseline agent is responsible for maximizing rewards under standard RL settings. Thus, it is compatible with off-the-shelf training techniques of unconstrained optimization, exploration and exploitation. On the other hand, the safe agent mimics the baseline agent for policy improvement and learns to fulfill safety constraints via off-policy RL tuning. In contrast to training from scratch, safe policy correction requires significantly fewer interactions to obtain a near-optimal policy. The dual policies can be optimized synchronously via a shared replay buffer, or leveraging the pre-trained model or the non-learning-based controller as a fixed baseline agent. Experimental results show that our approach can learn feasible skills without prior knowledge as well as deriving risk-averse counterparts from pre-trained unsafe policies. The proposed method outperforms the state-of-the-art safe RL algorithms on difficult robot locomotion and manipulation tasks with respect to both safety constraint satisfaction and sample efficiency.