hmm, well we use a sleeping bag b/c I know there's no way that DS is going to keep his quilt on, but you say that's a no go.
I think Claire (clazzat) once mentioned that she had a quilt they you buttoned/zipped up to the sides of the sheet-or something like that. So it wasn't exactly a sleeping bag but it wasn't something her DD could kick off either.
other than that, fleecy pjs, socks, double layer of pjs..