(Yorktown, VA USA)
Gracie the established dog is 2yrs old. Lucy is a lab 8wk old puppy. They get along great, but play very very rough.
I put them in down stays a lot to control it, but I'm afraid Lucy will treat other dogs the same way or even more aggressive when she is finally allowed to be around them after she has had all her shots.
Should I be worried and what are things I should be doing to control this behavior?
This kind of play is very, very common. Small puppies can be ruthless when they rough house, but in most cases the older or resident dog will put the puppy in her place when she steps too far over the line.
What seems to us to be very aggressive play (growling, snapping, biting and so on) is often quite acceptable in canine circles! You should notice that in spite of the seemingly ferocious 'playing', no blood is drawn and they quickly 'get over it'.
Unless there's a big size/strength difference between your older dog and Lucy (ie if the older dog is a toy breed or something like that), it's unlikely that there's going to be any harm done.
It's important that Lucy be allowed to interact with your other dog and that the other dog is allowed to 'correct' and discipline Lucy. She will totally understand that and it will help her to know how to interact and behave when she does get around other dogs.
As soon as she's had all her shots, enroll Lucy in a puppy obedience class, it's an invaluable socialization experience.
If the playing gets too out of hand for your nerves, or you're really afraid someone is going to get hurt, separate them either in the down-stays you mention, or just crate them or put them in separate rooms for a while.
Do be sure to reinforce your older dog's superior position in the household by always greeting, feeding, petting etc. her first. This helps to avoid jealousy issues. Also be sure to have plenty of toys, treats etc. so that they don't feel any need to fight over things.
My page on introducing a new puppy will give you more tips and advice on dealing with this adjustment period.
I wouldn't worry too much yet, I think you'll find this will all settle down of it's own accord in a fairly short time. Best of luck.