Why didn't they have Dragon glass with them?
They did have some, it was in a box when they left Dragonstone
It was? I didn't see them use any?
They all had dragon glass, otherwise they would be defenseless against them, which they clearly were not
There was never any mention of Dragon Glass this episode - they were swinging War Hammers. And to answer you question Slaves - because it would of made sense.
I think Sir Jorah clearly was wielding daggers made of Dragon Glass. At least the crude stone looked like it could be Dragon Glass to me.