I think there are a few different types out there Scarlett.
I have seen 'all in ones' (where the long arms are a part of the sleeping bag) sold at DJ's, Target, some baby stores and possibly Kmart.

I use a Grobag for Aidyn, which doesn't have long sleeves, so I can choose what he wears underneath - atm he is still wearing short sleeved suits underneath it, as its not that cold yet.
I bought mine online, try doing a Google search on Gro-bags, or baby sleeping bags, or something similar?
If you can't come up with it, feel free to email me and I will send you a link.