We have Si in a wrap (either flannelette or muslin, depending on what's clean), and then a couple of blankets, tucked in well at the bottom like Trish said, so they won't ride up to cover bub's face.

You will find blankets handy for many things, chucking on the floor so bub can lie on them, having a blanket that lives in the car, one that lives in the pram...

While I'm at it, in the cot/cradle, we have a flat nappy laid down or tucked in over the mattress, so if bub spews/nappy leaks, we can just replace the nappy rather than having to change sheets! I'm a smart cookie I know. :P