Using RegEx to Insert Character before Matches

You can transform each Match using a MatchEvaluator delegate and this overload of Replace...

Regex.Replace(input, @"[abc]", m => string.Format(@"\{0}", m.Value))

No need to use any MatchEvaluator, Regex.Replace offers dedicated means to access the whole match value in the replacement pattern: $&. See Substituting the Entire Match:

The $& substitution includes the entire match in the replacement string. Often, it is used to add a substring to the beginning or end of the matched string. For example, the ($&) replacement pattern adds parentheses to the beginning and end of each match. If there is no match, the $& substitution has no effect.

Use

var result = Regex.Replace(input, @"[abc]", @"\$&");

C# demo:

var s = "abcd";
var result = Regex.Replace(s, @"[abc]", @"\$&");
Console.WriteLine(result);
// => \a\b\cd