DS used to do the same thing. He would get out of bed to play and then fall asleep where he was. The worst places were infront of the door so we couldnt open it - I had to try and squeeze my hand around the door to try and poke him to wake him up!

I deffinately wouldnt put him back in his cot, it might cause more danger, he might try and climb out and hurt himself. Like Nelle said, just dress him warmly.