A simple route to niobium, hafnium and tantalum oxide nanocrystals using a nonaqueous sol-gel route based on the solvothermal reaction of the corresponding metal chlorides with benzyl alcohol is presented. This approach can easily be extended to the preparation of high quality Co-doped HfO(2) nanoparticles of uniform size and shape and with a homogenous distribution of the magnetic ions. The structural characterization of all these nanomaterials as well as the magnetic properties of pure and doped hafnia, with special attention to the doping efficiency, are discussed. The obtained Co-doped hafnia exhibits paramagnetic properties with very weak antiferromagnetic interactions between Co ions moments.