Olly dump is awonderful tool to dump exes. How can i dump dlls?

In exactly the same way. A DLL is just really another version of an EXE.

Olly dump has option dump debugged process. If i want to debug a dll i would open an exe which uses that dll and then stop at entry point of the dll.
now if i open Olly dump and give the OEP and size base. and dump it dumps the main exe and not the dll. (ofcouse if i give the values above the dump exe wont work -- anyway i have crossed then oep of exe since i want to dump dll.)