we only just put our DS into a sleeping bag recently. it took him a while to get used, he was previously being fully wrapped and loved it! but as he had started to roll and move around in the cot alot i was concerned he would get stuck on his tummy and not be able to use his arms to roll back over. it took 2 hard weeks of broken nights sleep but was well worth it, he now loves his Grobag! i find that brand to be the best - so far - i use the 1 and 2.5 tog but am still getting used to how to dress him underneath. i think if you just put him into bed without a sleeping bag or wrap you might find he'll soon be getting out from the sheets and waking up cold. this way you'll be sure he's snug all night.
good luck!