Loose Blankets and Pillows in Cribs make me nervous.
Actually, the crib is not a place for loose blankets and especially not pillows! The rule of thumb, is that babies aren't ready for adult size pillows until they are at least in a toddler bed anyways. Also, blankets (I know its chilly!) should be used other places. Babies toss and turn so much in their cribs, that they can strangle and entangle themselves in even small sized and thin blankets. Also, beware of large stuffed animals, books, toys etc. in the crib. They are handy for entertainment, but once the baby is asleep, you probably should remove most of them from the crib. Your little genius can find a way to use them as a step to climb out.
So how do they stay warm if they aren't covered up?
You have a few options. Its all in how you dress them.
Go ahead and put on the onesie, then a thin pair of pjs (like long sleeve and pant separates), and then a second pair of warm (fleece is great) footy-jammies. Socks are optional in the footy-jammies, but the seam can rub those toes, so maybe they would like some light socks. Definitely put socks on the foot-less jammies!
When our first daughter was starting to walk, she outgrew the regular sleep sacks. But, the sleep sacks were PERFECT for the winter! It was like the blanket stayed on her whichever way she turned. Its like a mini-snuggie.
I hit up the fabric store, bought some awful purple fleece from the "remanents" bin ($4), a long zipper and a "Layette" pattern which had blankets, hats, onesies and sleep sack patterns included. I followed the pattern (so easy) for a toddler size (like 18mo-2T) and made a big sleeveless sleepsack with a huge zipper. (dont panic, you can do it!) 
(a much cuter version than ours)
Example.....
So now our second daughter (18mo) wears that ugly purple sleepsack every night in the fall and winter, too. She sleeps so comfortably and her temperature seems to feel pretty good. She can stand up in it and walk around her crib (funny stuff) too! She wears regular long sleeve light jammies underneath it. Diaper changes are pretty easy with that big zipper too.
If you don't think you can make one (I've never seen them for sale in a store larger than 12months) you can find a boatload of them for sale on Esty.com
