Well, I use MS Paint, which I think most of the dollers on this site use as well. I also know some people who use Paint Shop Pro, Photoshop, the GIMP or other programs. I can't really give advice as to which is the "right" program, as I've only tried one. Anyway, I think that if you were able to make dolls like this with your current program, you can make better ones with it as well if you practice.
As for the dolls themselves, I agree with Hayley that the dolls are very good for a beginner. Your main problem does seem to be palettes - some seem to have too few colours, or too large colour differences. Also, the palette you used for the last doll's hair is very unrealistic for a hair colour. I'd advise you to check out Xandorra's Place
, she has loads and loads of palettes and most of them are quite good.
However, overall your dolls are quite good, and I think your shading would improve tremendously if you got your hands on some good palettes.