Lori Rae, no, I haven't considered the sheet and blanket option. I HATE HATE HATE sheets and blankets. I always get them in a knot (I have a special talent that way :-) I sometimes ended up with the sheet misteriously wrapped around my neck, and I'm not even such an unsettled sleeper). Especially if I have to turn DD over multiple times during the night for breastfeeding. It's hard enough getting the doona to stay in place.
When I met DH he used the blanket + sheet option and I immediately set about changing his mind. For my next birthday, he gave me a feather down doona :-) Best present ever. We both haven't looked back since. But at the moment we only use a thin cotton filled doona, so it's not actually that warm or that thick. I wouldn't want any less warmth.
The main problem is not her overheating in my bed, I can manage that by taking her sleeping bag off. The main problem is the difference in temperature from one night to the next (or from early evening to early morning). I never know how warm or cold the night will be. We can easily adjust by pulling the doona down a little or sticking a foot out at the bottom. But DD can't do that.
I agree with you that sleeves seem to make it easier to overheat. And most of the high end sleping bags have no sleeves. I might ask MIL to take the sleeves out of one of the sleeping bags...

Thanks again for all your help and opinions.
Sasa