I have never used fancy quilt sets and I love sleeping bags. When your bub is newborn it will probably like to be swaddled so I would get some good wraps to start. I usually put my bub in sleeping bags from 3 months.

Only problem with using sleeping bags is both my bubs got used to having them and hated it when I put blankets on them. But on the flip side they are safer and you don't have to worry about blankets creeping up over their heads.