As Uedden Luiz said, they are not very used in spoken language, but you do use it when you are writing something more formal (like an e-mail to a boss, for example).
The pronouns you asked about usually refer to something already mentioned in a sentence or piece of text. They are used instead of nouns to prevent repetition of the noun to which they refer.
me = me
you = te
him/her = o/a
it = o/a (you have to know the gender of the word you are referring to)
us = nos
them = os/as (you have to know the gender of the word you are referring to)
"o", "a", "os", "as" you have to use together with the letter "L" (lo,la,los,las) if the verb of the sentence is in the infinitive.
Examples:
1) I'm helping him = Eu o estou ajudando (the verb "help" is not in the present continuous, not in the infinitive, so you DON'T use the "L" together with the "o" in order to refer to "HIM").
2) I would like to help him = Eu gostaria de ajudá-lo (the verb "help" is in its infinitive form (which means it's not conjugated) so we use the particle "LO". The verb that is actually conjugated in this sentence is the verb "like" cause we said "I would like").
One more thing. Everytime you use the particles LO,LA, LOS,LAS, you have to:
1) remove the final R from the verb (PS: every verb in its infinitive form ends with the letter R)
2) add an accent to the final vowel (PS: if the final vowel is "i" or "a" you use "í" or "á" and if it's "e" you use "ê" - remember that every portuguese verb in its infinitive form ends with "AR", "ER" or "IR")
3) use "-" between the verb and the particle.
Example:
Verb in the infinitive form => verb with the particle
AJUDAR (help) => AJUDÁ-LO, AJUDÁ-LA, AJUDÁ-LOS, AJUDÁ-LAS
ABRIR (open) => ABRÍ-LO, ABRÍ-LA, ABRÍ-LOS, ABRÍ-LAS
COMER (eat) =>COMÊ-LO, COMÊ-LA, COMÊ-LOS, COMÊ-LAS