TBH I've only ever used the fitted sheet on the cot. Took me a while to find just the fitted instead of a set (which always comes with a pillowcase even though you aren't supposed to use pillows for babies ).
Like Tan we just tucked a blanket over her. I used a rolled up nappy between the cot and the mattress to keep it secure.
I did have a set but seriously who wants to 'make' a cot every day when you don't use all the bits....same reason I don't have a pile of cushions on my bed.