When I was your age, I studied very hard.
When I was their age, I used to disappear for hours.
I used to sneak out of the house at night when I was in school.

Are these expressions natural?

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@elena_rodriguez
They all sound perfectly natural to me.
For the second sentence, it does not matter if you say “I used to disappear for hours when I was their age” or “when I was their age, I used to disappear for hours”. The meaning is the same.
For the third sentence, “when I was in school” references the time frame of when they went to school, say up until late teens. They are not saying they were physically in school when they snuck out of the house.

All 3 sentences are correct and natural.