Don't forget that non-count (mass) nouns are treated similarly to singular nouns and get singular verb forms and pronouns.
- Collect all the doh and put "them" in their containers.
Here, "doh" (or more generically) "dough" is a mass noun, so you will need to use singular forms:
Collect all the doh and put it in the containers.
Containers is a count noun, so you can leave it plural, as you have several containers. It will be difficult to use "their containers" here because "doh" is non-count.
If you wish to pluralize, you need to add a count noun... fortunately, you have one handy:
Collect all the doh balls and put them in the/their containers.
Here, you can use "their" if you want to specify that the blue ball should go in the blue container, etc... or (as the containers are all usually generic, it's the lids that are color-coded) you can simply say "the containers".
- Did you roll "them" into balls by yourself?
Assuming you're pointing at the balls here, this is perfectly fine! You could also specify "the doh" if you like in place of "them" but I don't think that's where you're going with this question.
If, however, you've just referenced the doh, you will want to switch to "it":
The doh looks very neat. Did you roll it into balls by yourself??
- "Their" colors are pretty.
This is also fine, if you're talking about the balls of doh. As you can probably see, as long as you're not referencing the non-count noun "doh", you can use the plural forms. When you do refer to the doh, though, it needs to be singular:
I really like the doh... its colors are pretty.
- Pick "them" all up.
This one's good, too... this is a command to the kid, clearly and as long as you're talking about the pieces of doh, you're fine. But, again:
Oh my, you've made quite a mess and the doh is all over the place, please pick it all up.