Should we say: give me back your sheets or your papers?

More context is needed to answer this.

Dozy, I have read that paper is non-count, so we should say a piece of paper, but I have problem when I want to say for example: these are your papers/ I corrected your exam papers,etc. Is paper used correctly here? Or I should use sheet?

“paper” can be countable or uncountable. In the uncountable sense, it refers to the substance or material.

In the countable sense it refers to any of various things: a newspaper; a piece (or pieces) of paper with writing on it and having a formal or official purpose (including an exam paper); an academic treatise. All of these meanings can be pluralised. “These are your papers” and “Give me back your papers” are both OK in these senses. “I corrected your exam papers” is also OK.

wow! I do appreciate it Dozy, so in which way sheet and paper are different?

While “paper” (countable) refers to paper being used for specific purposes (as above), “sheet” tends to refer more generally to a thin piece of a particular material, in this case paper. It may or may not be blank. Often “sheet of paper” is used, though “sheet” alone suffices when the context is clear.

“Could you give me a few sheets of paper?”
“Do you have any paper” / “Yes” / “Could I have a couple of sheets then?”

These sentences are probably talking about blank sheets.