My dd is currently sleeping in along sleeve onesie and a love to dream swaddle (which I highly recommend). She has one layer of cellular blanket overnight. She's 8 weeks.
As a newborn over the summer she was either naked or wearing a vest and sleeping in a swaddlepod (again, highly recommend). I guess in winter I'd have had her in a long sleeve onsie and maybe a vest with a blanket or two overnight.
Try and get swaddles with zips, they are so much easier than the Velcro ones.