I have the same problem, i've given up putting a blanket or sheet on her as it just ends up in a pile, out of the cot (as she's learnt to put things over the side) or she uses it as a pillow.

It's too warm for a sleeping bag so i just make sure she has warm pj's & socks on and she is warm enough as our nights are warm.

Be interested to see what responses you get.