What would be the right way to pluralize the word PJ, like pajamas? As in "He went into his room and changed into his PJs before bed." Do I put an apostrophe before the S?
You add an "s" with no apostrophe. Plural apostrophe-S does show up in a few weird cases. Those involve avoiding the construction of a new word, or dealing with plural of literal words (e.g., There are two and's in that sentence.), or the plural of lowercase single letters (mind your p's and q's.) I've seen it for capital single letters too though. I guess that goes back to avoiding making new words. I got two As and a B. (confusing, looks like a word) I got two A's and a B. (makes more sense) Basically, you only use them when the simple plural is confusing or looks absurd.
Chicago Manual of Style (15th ed.) Rule 7.15: "Capital letters used as words, abbreviations that contain no interior periods, and numerals used as nouns form plurals by adding s."
As above, add s with no apostrophe. If that makes the word confusing, or into a different word then add the apostrophe before the s. As with everything though, there are exceptions!