We have this issue too! If it's a mild night dd can sleep through till 6am but most nights she climbs in with us at 2am and her limbs are freezing! She kicks off any covering, even in our bed, but you're right...the body heat must help.

Last winter we used sleep suits, which are polar fleece with arms and legs (and feet) all in one and we used to put pjs on under them...the brand was snug time I think...dd just thought they were pjs and they kept her toasty...I had to take them off her when she came into our bed though because she would overheat.

It's funny, the few people I know whose babies religiously sleep through have climate control and gro bags...I often wonder if dd would have slept better if I could manage her temp better...but then again, babies are designed to be with their mum, so in my bed seems to be the best place for her anyway.