Babies are crap at regulating limb temperature so their hands and feet will often feel cold, whilst their core temperature is fine. Sticking your fingers down the back of their necks or on their tums is a much better indicator of hot/cold than holding their little handies. So, basically, yes, if they have cold limbs, check their necks, but usually they're fine. Usually a gro and a grobag will suffice, but do look at the guidance and remember that grobags aren't usually recommended under 8lb.
Also, watch out for 'other' brands as they often require poppers to be put in the arpits (most up to date grobag branded ones have poppers in the arm holes) to stop small babies wriggling down and the bag going over thair faces. But, IMHO they're a genius idea, as what's to stop a baby wriggling down under a blanket any more than a gro!? (despit the HV giving me a worried look).
I'm dressing my LO in a poppered vest, gro and a grorbag for nights (though will be watching room temp, so maybe only a vest and grobag - vests are useful for keeping real nappies/and I guess disposables in place). The grobag website has all the information you'll need. I found all of my grobags on ebay for a fraction of the cost...all very well looked after/hardly used at all. Grobag also do a travel version that you can put seat restraints through too!
Also worth noting that pram/cot blanket = 1 tog. Fold it in half/over and that's 2 tog. I've been on mat leave a while and have mentalled about allsorts and this was one of the things that has stuck with me from reading up about how warm baby is etc.