When you want to use le and lo next to each other, le becomes se. It's the same with other combinations of le/les and lo/la/los/las.
When there are two verbs in a sentence, like in estoy comprando, you can put words like se and lo before the first verb or after the second one, but not in between!
Notice the different placement of words like te, me, lo and so on in the two types of commands!