I was just looking through the threads for something similar. Nina keeps banging her head too, and I was thinking about cot bumpers. We have the angelcare monitor in case something was to happen.
As for blankets, I have a very soft, but warm, blanket which I got from Toys r Us and it's very warm. It's large enough to be tucked in, but still light weight. You might be able to get something similar, or you might need 2 of them.
And for pillows, this is another I'm not too sure about either. I must admit, I've used a pillow a couple of times when Nina wasn't feeling well and needed to be a little upright, and it went fine. I used a soft baby pillow.