My son was in a sleeping bag/blanket sleeper until he was about two. (Aside: I saw one that was large enough for an average height 8 year old!!!) Anyway, one day he decided that it was enough and to this day he will not use a blanket OR wear socks. He's almost three and we still have him in a crib (he's NEVER tried to get out and he's not ready for night potty training). We talk to him about when he is in a big boy bed and that he will need to start sleeping like a man (or like cousin Sam, or like his buddy Matt) and will be using a blanket. I hope this works, but until then he sleeps in long johns, a long sleeved shirt that can be tucked in, and then a pair of sweat bottoms and a sweatshirt...and we keep the room warm (23 degrees F)
But...I know where you are at with not getting sleep yourself. I did the same...sneaking in at night to put on a blanket...tucking it just so so that if he rolled over it would "follow" him...I've even risked waking him by putting socks on him while he slept. I feel your pain