Gab is still in a sleeping bag. We don't have a grobag but she has 3 different types - a polar fleece, a regular fleece one and a kind of quilted cotton one. She sleeps well in all of them. I put a blanket on over her but she often ends up on top of it. She has been known to have a pillow in the bed (she's got a really little one that came with a set before she was born) but she doesn't use it - just plays with it for a bit.
During winter and on the nights that are still cool (which is every night in the house we've just moved to - it's old and has high ceilings so it's colder than our last house) she has a small oil bar heater going just to take the chill off the air. Seems to work ok.
I'm hoping to get her out of the sleeping bag when the weather gets warmer. At the moment I can't even get her to sleep without the sleeping bag during the day. But, then, she was fully swaddled until 10 months old so I think it's a security thing with her.