Wave and particle properties of protons and electrons
Actually, everything has wave-particle properties and is given by the deBroglie equation: $${\mathrm p}\lambda = h$$ where $\mathrm{p}$ is momentum (mv), $\lambda$ is wavelength and $h$ is known as the Plank constant ($6.626\cdot 10^{-34}\;\mathrm{J\cdot s}$). 

As you can see as the mass of an object increases, the wavelength decreases. So in macroscopic objects that we an see, such as ball, its mass (therefore momentum) is so big compared to $h$ that the wavelength is really, really small, so we can't observe it. For light waves, it is the opposite. Due to their relatively large wavelength, they have a really small mass. However we can do experiments that show the particle nature of light. Such as the photoelectric effect which can only be explained by thinking of light as a particle rather than a wave.

Electrons which have a mass of $9.011\cdot 10^{-31}\;\mathrm{kg}$ are in between the two examples that I have given you. It turns out that their mass is perfect for their wave and particle nature to be observed. Protons are roughly 1840 times heavier than electrons, however we are also able to observe their dual nature.

The answer your second question is that they do exhibit these wave and particle properties at the same time. An electron can't simply decide to be a particle for a certain instant than decide to become a wave in the next moment. All objects exhibit their wave-particle properties at the same time.