My DD (aged 2 but size 18-24 months) takes her sleeping bag off after we put her to bed. She also refuses to have a duvet or blanket in her cot (throws them out). This means she ends up getting cold and waking in the night.
I've been looking for some thick, warm all-in-one sleepsuits with non-slip feet so she will keep warm all over without the need for a cover.
Ds has one from mothercare with george pig on, its that soft brushed fleece material. He wears a long sleeved vest under and doesn't seem to get cold. Primark also sell them but i dont know if they have non slip feet.
Try a fleece sleepsuit over the top of her ordinary one (or just with a vest if your house is warm - ours isn't). Next do one for 8 or 9 pounds. Alternatively babysleepshop.com have them that come lined with cotton jersey for extra warmth. They are more expensive though.
Primark do good ones, or Carter's (can find these on Ebay), all with non-slip feet. Look out for ones with a little tab at the neck (which poppers up across the zip) as it stops the little darlings from unzipping the suit