My water supply pipes are gray I tried to use a white coupler and a wite pipe but the cement wouldn't hold on the gray pipes.
Do I need to us the gray material to connect my Faucets?

Where the cut off is should be a 3/8 fitting, id just go buy a 20" faucet supply line, 3/8 to 7/8 I think,
You shouldn't be using any cement for this! These are either compression fittings or pecs fittings using a crimping tool

Shark bites are available at most plumbing supply houses or big box stores like home depot to go on to the pex to a 3/8 shut off if u alrady cut the line u just need the o/d of the pex. Hope this helps