We never used the gro bags with DS1 or DS2, only the snugtime sleep suits. They both liked to sleep on their tummy's when old enough to do so. So answering your question when for the blankets and so on, it was when they moved into a bed. Our Cot converts into a junior bed, that's when I made it up like a bed.
With DD she is in a gro bag, I am thinking the summer, as she too likes to roll and sleep on her side at the moment, by summer I should be able to relax a little for her sleeping on her tummy (that is where she is trying to head).
The good thing about the snugtime sleep suits is you can put Pj's underneath, so they are warm enough. Pretty much the same as the gro bags.