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Can I say,

(a) They are doing warm-up before the exercise.

(b) They are doing (a few) warm-up exercises.

(c) They are doing warm-up now.
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(a) They are warming up before the exercise. (Some, however, would consider the 'warming up' to be the exercise.)

(b) Either way is fine.

(c) Use either (a) or (b).
Comments  
(a) They are doing warm-up before the exercise. OK

(b) They are doing (a few) warm-up exercises. OK

(c) They are doing warm-up now. OK
 Philip's reply was promoted to an answer.