Curiosity and masturbation are VERY normal in children. When my son was in daycare as a toddler there were a couple of little girls who would rub themselves until they slept. The family of one girl, one I knew VERY well, had been investigated VERY intensely because the parents were divorced before the child was born and each parent wondered if the other one had "let" someone abuse her. NO ONE had every abused her. Apparently some kids just do that. The other girl's family I didn't know well, but I do know that an investigation showed nothing.
But what your son is doing is a bit different. Usually what kids do is have a hand in their pants or over their pants, and it can be tough to get through, but gently telling them that they must be alone iwth a door shut to do that usually is enough to break the habit. just stopping htem, telling them to only do that in the bathroom or bedroom with the door shut, that it is normal but they must not do it around anyone usually gets through.
Your son's behavior is rather scary, in my opinion. The doll was one thing, but touching his baby sister's privates is another. Both may be signs of abuse or of a symptom called hypersexuality - this is often a symptom of bipolar disorder. Bipolar can appear in children at any age and I STRONGLY suggest that you get a copy of "The Bipolar Child" by Papalous to see if this may be what you are dealing with. I will say that trying to see you naked if it is persistent is also disturbing. Kids ARE curious and that is normal and natural, but what you are seeing sounds overboard.
Kids ARE to some degree sexual. NOT NOT NOT the way adults are. The sensations of masturbation are pleasant, often soothing to them (hence why many masturbate when going to sleep - it is far more common than people realize, or when anxious) but they are NOT the sensations that adults feel fromt eh same actions. Little boys do get erections and that is also a normal thing and does NOT indicate sexual arousal. It is just a normal biological function. I babysat a kid who had an erection at EVERY diaper change. I swear that even the mom never changed a diaper with-o seeing one, but it was NOT a sign of anything sexual or abnormal. It was just how that kid was as a baby/toddler. I remember it because it seemed so strange, I had NO idea little boys did that.
the animals scare me badly. It is HIGHLY abnormal for a child to repeatedly find fun in making an animal hurt. Most of the children I know would have cried if they stepped on a toad by accident and would NEVER have tried to do that or had to be stopped from it except if they were truly absorbed in something else. Throwing things that are heavy on a family pet is even more disturbing. MUCH more disturbing. Pets have a bond iwth the family. Kids see the family caring for the pet and they learn that bond also - and at a very young age. So wanting to throw something on a sleeping family pet is a really BAD sign. At this point your son must NEVER be left alone with the pets. NEVER - not even for a second. If you love the animals, you will protect them from him by either making sure that he is NEVER unsupervised around them, and is actually very closely supervised, or else by finding them new homes. It will hurt, but NOT as much as having your child kill a pet that did no harm to him because he thought it was funny. This is NOT NORMAL.
Hurting animals is one of the most reliable predictors of violence as an adult. That is sad and scary but very true. there are a LOT of very well done studies that show this over and over. in my opinion htis is something major to work with.
If your son is bipolar, he is going to need medication. there simply is no way to handle it with-o them. PLEASE read the book I mentioned above and take it to the psychiatrist. For some BIZARRE reason most psychiatrists want to completely ignore the medication protocol for treatment of bipolar and instead rx medications that are KNOWN to make bipolar worse, esp in children. LOTS of them want to start with an ssri or snri antidepressant (prozac, lexapro, effexor type medication). Proper treatment for mood disorders is to stabilize the moods and deal with aggression with up to 2 mood stabilizers and an atypical antipsychotic. AFTER these have been at therapeutic levels for about 6 weeks and the patient is stable, mood wise, then any remaining symptoms can be treated. In many cases the symptoms that the other medications would treat are gone once the moods are stable. If not, very small amounts of antidepressants, stimulants, etc.... are given.
Time and time again parents come here iwth kids diagnosis'd with mood disorders or bipolar and the kids are out of control and the doctor is giving antidepressants, stimulants, etc.... But the doctor can't answer when the parent asks why the approved medication protocol is NOT being followed. I personally have asked a LOT of psychiatrists why they wanted to diagnosis my child with a mood disorder but NOT follow that medication protocol. Not a single one has EVER given any kind of halfway rational answer. Often it was because 'they wanted to see if it would work' as the closest they could come to ANY rational thought behind their choice. My son does NOT have bipolar, he has unipolar depression and never mania or mixed states, so for him treating bipolar is not right. In fact it took 3 different kinds of antidepressants to get him to stay out of the depression. If he were bipolar he would NEVER be stable on those medications.
Anyway, I hope you can find GOOD help for him. The interest in sexual things is not normal and the desire to hurt animals is even more disturbing. Please do not ever let him alone in a room with his sister. It isn't easy, trust me, I know. been there done that because Wiz would leave jess bruised or bloody in the time it took to go up to the bathroom, much less the time to actually use it. I spent years with my daughter accompanying me to the bathroom at home if husband wasn't home to supervise them. It was what it took to keep her safe. husband took Wiz with him because we wanted NO questions about inappropriate behaviors with them, Know what I mean?? But he really does need very very close supervision to keep everyone safe.