When we tried to change to normal bedding, my DS refused to use a duvet. (We had already taken the sides off, and converted to a bed). We ended up spending a fortune on the Grobag bedding, which is like a cross between a duvet and a sleeping bag (the duvet is zipped onto the bottom sheet, so it doesn't slip off).
A good tip I picked up here is to use a standard single duvet but across the cot bed. This is good as you can tuck it in firmly at both sides to stop a small child falling out of bed (in theory anyway, DS always kicked his loose within minutes!) Saves you buying two sets of bedding anyway.
We stuck with sleeping bags until DC were able to take them off - it helps ease the transition and they don't wake cold 1001 times a night having kicked the covers off. I think we had 3 sizes of sleeping bag from birth to quitting them.