We use sheep skins they are great when putting them back to bed thru the night after a warm feed. I felt bad that they were having to put their warm face on a cold sheet. Not sure they are a SIDS risk but so is a heater in their room. You have to look at all the risks and make the best choice for your family. Wearing wool is always warm
I should have mentioned that the heater had a thermostat so the room never go warmer than 19C. I am not aware of any other SIDS risk with a heater (i.e. other than getting too warm).