When you go somewhere in order to get something, you can describe your action as "picking something up". You can also use "pick something up" when you're on your way to another place and you stop to get something:
Hey, can you pick up dinner on your way home?
When you use "it", "them", "something", etc, use this order: "pick ___ up".
When you use a longer phrase, use this order: "pick up ___".