First, third, or "we" for Marie Curie Individual Fellowship
Optimally, you would check this with people in your field, in the best case somebody who has already written a Marie Curie Individual Fellowship proposal. In my area, the usage of "I" has become fairly standard for personal grant applications, to the extent that using "they" would be considered somewhat unusual. Using "we" for such grants is not recommended, as apparently some people want to see this as a sign of lacking independence. (I completely disagree with this assessment, but why take the risk?).