We got Bryony a duvet for Christmas around the time that we were thinking of taking the sides of the cot bed, and enthused about it, and how mummy and daddy had a duvet. Sometimes Bryony would ask for her duvet and sometimes a 'bag (still sleeping in the cotbed). She would often start with a duvet but call out after a few minutes for a sleeping bag, but gradually she got used to the idea. The great thing with the cotbed was that there was nowhere for the duvet to go!
When we took the sides off the cot (which I did on the spur of the moment after she threatened to climb out at naptime :roll: ), we put a bedguard on and pretty much insisted on the duvet from that point on. The bedguard kept the duvet in place fine. It was in facts several mnths before Bryony actually got out of her bed by herself - it simply didn't seem to occur to her, or at least not at night once we'd left her in her room.
Since then we've done away with the bedguard, but since we had a few disturbed nights because the duvet fell off, we bought a 'duvet gripper' online from GLTC. i'm sure you could devise something similar as it's v. simple but it does the trick. It's actually designed for a single rather than cotbed, so it's a bit loose but it still stops the duvet falling off. Bryony also fell out of bed a few times, but the cotbed's so low anyway, and we'd frequently go up after a thud to find she'd crawled back in and was fast asleep again!:lol:
HTH