Yep, I go mattress protector then underlay then fitted sheet.

Then to do the top sheet have the top of the top sheet coming about 1/4-1/3 up the mattress, and tuck the rest under. I perfer to tuck rather than fold cos I was always scared about her pulling a folded sheet up over her head. Virtually no chance if its tucked all the way under the mattress

Not that she used the cot much when she was a teeny tyke. I also used to put a nappy under her head, co-sleeping or not, so we didn't have to do a whole sheet change when she spewed.