Good idea to plan ahead

I always wore a jumper in cool weather with a little one so the blankets could be pushed down.
I think swaddle would be overheating + movement issue with hands and legs constrained. If they did roll over they can't push out again and let you know. Even newborns are remarkably mobile sometimes.
Wind? I honestly don't think they ever needed burping after feeding lying down. If he feeds and falls asleep, try letting him be