We use grobags - they're excellent! We don't use them with blankets, just layer up with more clothes and use the warmest grobag on cold nights.

That's just made me think though... Are you swaddling your bub? If not it might be worth a try as that can really help with settling. If you're concerned about the temperature you can add an extra layer of clothing under the swaddling, or put a blanket over the top. I didn't use one but have heard many people rave about the woombie, that might be a better investment than a grobag for such a little 'un.

I also thought after I posted... Have you tried a white noise cd? It worked well for us...