The correct sentence with appropriate punctuation and antecedent agreement is:
"When Desiree, Mikel, and Alexia come back, tell them we're in the auditorium watching the play."
The other sentences either have punctuation issues or incorrect antecedent agreement. For example, in the first two, "his" refers to a single individual rather than to the multiple people mentioned. In the last option, "his" should be "their" for correct antecedent agreement when referring to "both of the boys."