At least for Alice, the dolls are about like guided missiles in terms of her sentimentality towards them- they are used as her projectiles when you fight her.

Of course, this being Touhou, there is considerable wiggle room in interpretations of the dolls, and the fanbase have gone wild filling them in; one interpretation that I like is that the dolls with actual personalities are the patterns Alice uses to make the projectiles.

In any case, the dolls don't always need to explode to get the job done; Shanghai, for example, will straight-up cut a bitch, as shown below.

"This is probably a stupid question, but . . ."