Can someone explain to me pretty please when you use filios/filli, is it dependent on case/Direct object kinda thing? Thanks !
It is dependent on case, yes.
If 'the sons' are the subject of the sentence (the ones doing the 'action') then filii is used (the verb will also be in a 3rd person plural form).
filios will be used when 'the sons' are the direct object (the ones being directly 'affected' by the verb). In this sentence, filios is used since they are 'had'. The verb ending of habemus tells us that 'we' are the subject.