So sorry to hear that your furbabies took it upon themselves to play with something so precious. I can totally understand how upset you must be. I think with regards to Baby's room especially, there needs to be some boundaries. I love what Rivlas suggested about putting a gate on the door (unless they are big enough to jump over it). Otherwise I would suggest that the door needs to remain closed. Dogs aren't like people, if they have always been allowed to go wherever they like in the house they will not know that it's not O.K. to go into Baby's room and take the cool new 'toy'. So if all else fails - just shut the door on them. Good luck and try to stay calm and relax.