I used the sleeping bag for day naps too because DD was a bit of a cot gymnast too. She also had a favourite blankie that she was wrapped in so I started putting it under her head and she grabs that with one hand and puts her thumb in her mouth with the other. But you could try putting something that smells of you (like a t-shirt) and put it over the mattress maybe.

Hope you find something that works - it is VERY cute when they're so pleased to see you but also very tiring if you have to spend ages trying to get them to sleep!