Il verbo dire è seguito dal dativo >>> Dico questa cosa A QUALCUNO. Di conseguenza, è sicuramente corretto dire >>> Dico A LORO... Anche se grammaticalmente meno corretto, si usa comunemente anche la forma >>> Dico loro... Corretta è anche la forma "GLI dico", ma può creare confusione senza contesto perché GLI si usa per la terza persona singolare e plurale. Senza contesto "GLI" può significare "A LUI" o "A LORO".

The topic you touched upon is quite complex, but let's simplify it by saying that Italian comprises two series of personal pronouns, namely accented pronouns and clitics; the third person plural is the tricky one, because its clitic form, "lóro", is in fact a pseudo-clitic pronoun (more precisely, the correspondent accented form used as a supplementary form). These two forms differ in one thing, though, as all clitics carry a case ("loro" is dative) while accented pronouns don't, and, due to this, differently from accented pronouns clitics are never governed by a preposition. Therefore, when you write "loro" you're using the clitic form, while when you write "a loro" you're using the accented form. Putting all this stuff into practice, you use clitics for plain sentences while you choose accented forms when you want to convey emphasis: so "Dico loro" is plain, while "Dico a loro" emphasizes the pronoun. As you've been told, the pseudo-clitic "loro" has now been more or less dismissed in favour of "gli"; that said, "gli" as a replacement for "loro" still sounds sub-standard to some people (count me first): for this reason I suggest that my students use "loro".