I second the sleeping bags, we haven't looked back since i first started putting DD in them! She only has the fitted cot sheet now.
If you're worried about them bumping their head on the side of the cot, we have an Airwrap cot bumper (got it from Big W) which will protect their heads somewhat, and stops them getting their arms/legs stuck outside the cot. It's like a cot bumper but is quite thin and is made from breathable material so unlike a cot bumper they can't suffocate against it. I love ours! Once they start standing they also can't stand on it as it just squashes down.