Hi, I have used gro bags for my son since he was newborn. You can get them in different sizes, tesco do some for about £10 and they start in size 0-3 months. One of my son's gro bags is very long so I just tuck it in at the end of the mattress so his feet are still at the end of the cot. As the gro bags have parts where the arms go through babies can not wriggle down the grow bag unless their arms are inside. I have never had any problems and my son loves his gro bags and will not go to sleep without them. If it is a cold night then I also put a blanket(s) over him aswell.
I hope this helps
Bec and Isaac (8 months) xx