Grobag sell a set called the first duvet set, if you google it you'l find it. The doona cover zips onto the fitted sheet to the covers can't be kicked off in the night. If you're handy with a sewing machine I'm sure it wouldn't take much to make your own??
I have seen these too, my DS still ends up at the wrong end of the bed though and I was worried he would get stuck under the sheets, if that makes sense.

We have the sleep suits here.