I bought 2 "Miracle Blankets" to swaddle bub with. They really were great (I have other covers on top). She couldn't escape and stays safely wrapped until the morning. She's 16 weeks now and am only just moving to grobags and sleeping bags (now that she's rolling, she needs to sleep with her arms out).

Is also quite good to get a sleeping bag with a hole for the harness so that on cold days you can put her in it in the pram and she can't kick off the blanket. Obviously you can use that sleeping bag in the cot too. DJs has lots of different brands - I don't think it really matters which.