Yeh i know the 0-6 month ones have a press studd button under the arms to stop them doing that, maybe you might be able to sew one in? a button or something? Just as long as he cant get his head in there once his arms are in too.. would hate for him to get stuck!

What are the temperatures like in his room? Jesse is in a grobag, but also has doona's and blankets on as hes just not warm enough in the grobag.

Only other thing maybe i could suggest if it is his hands getting cold, is maybe trying some of those gloves that have the fingers cut off? Or if you cant find any, buy some gloves and the finger parts off, might stop him pulling them off if he can feel his fingers? That way his hands are still kept warm from them. Just an idea.