I think that sheepskins are considered to be a SIDS risk. You might want to check that out.

Personally I wouldn't put a blanket over a sleeping bag, unless you could tuck it in super firmly. Sounds like your DD is a bit a of a wriggler, so she could kick it off.

Or consider an oil heater for the room. We got one for DS2, seeing as he was a winter bubs.

I have a 3 TOG sleeping bag, so you could look for a heavier tog.