Look into a Vellux blanket - a real one, not a cheap knockoff. They are amazingly warm but light and breathable. Most hotels use them to add warmth without bulk, and they are much safer around a baby than a poofy comforter.
I used a zip-up washable silk caftan as PJs, worked really well and very comfortable. DD would be in a fleece SwaddleMe or Woombie and a diaper.
Another good option is adult full-body pjs/sleepers - Lands End sells a really nice zip-up one of thick fleece. It was actually TOO hot for me, and I am always cold!
Wife to my best friend
DD1 (4/15/10) and