I use the polar all in one pjs too, I get them from target and they have two differnet thickness, one is polar fleece and the other is polar fleece with a blanket lining.
Both my kids still kick there blankets off and refuse to sleep under cover, i find these with a singlet underneath does a great job.
My DD is 9 and has just grown out of her last one. My DD is 4 and still has his for cold nights.
They are great as they have legs the kids can still get out of bed and go to the toilet, not something you need to worry about for a while. I have used these since mine were little though, they come in sizes 000 up to 8.

Hope this helps I know how hard it can be with bubs that dont like to be wrapped or covered.