They don't sleep in the bags from birth, can't remember why, probably head to small to guarantee won't slip through hole. When they get to bags after a couple of months, the idea is no extra blanket, you can put them in the bag in nothing, vest, or babygro depending on how warm you feel it is. The bags come with instructions on all of this, and they also come in different togs. Since the baby needs more than one in case it poos or voms in the night and they also go through different sizes, sleeping bags are a major investment, but you'll be picking them up as you go along, since you'll want to get right sizes for summer/winter as your baby grows. So that's really easy....
Before bags, you might be swaddling, if you have swaddly baby. You'd probably have it in a vest or vest and sleepsuit and then swaddle it. You could well feel this is cosy enough. If not, you'll pin it to the moses basket/cradle/cot with a cellular blanket, with the baby's feet at the foot of the bed and being careful to tuck it all in securely, so as to prevent baby-under-the-covers dangers. If not swaddled, you'll probably have it in a vest/babygro combo or just a babygro, and be pinning it to bed using blanket as above.
Swaddling does not invovle a special blanket necessarily but you do get a very neat parcel indeed with something like the gro swaddling blanket. Pricey, though. I never used a more casual swaddle, but I think you can do it in a large muslin or a soft blanket. My baby didn't want to be swaddled long, and I kind of regretted the expense of the special swaddles, although as I say their tight and tidy result cannot be denied.
Simple, no? It will all seem quite obvious once you get started. I'd buy some cellular blankets and something rough and ready to try swaddling with as a start, someone else will know what, and get some Gro swaddles if the baby likes it. Then sleeping bags later.
I just need someone to tell me now when we move on to downies and pillows?