Language models (LMs) have been instrumental for the rapid advance of natural language processing. This paper studies continual pre-training of LMs, in particular, continual domain-adaptive pre-training (or continual DAP-training). Existing research has shown that further pre-training an LM using a domain corpus to adapt the LM to the domain can improve the end-task performance in the domain. This paper proposes a novel method to continually DAP-train an LM with a sequence of unlabeled domain corpora to adapt the LM to these domains to improve their end-task performances. The key novelty of our method is a soft-masking mechanism that directly controls the update to the LM. A novel proxy is also proposed to preserve the general knowledge in the original LM. Additionally, it contrasts the representations of the previously learned domain knowledge (including the general knowledge in the pre-trained LM) and the knowledge from the current full network to achieve knowledge integration. The method not only overcomes catastrophic forgetting, but also achieves knowledge transfer to improve end-task performances. Empirical evaluation demonstrates the effectiveness of the proposed method.