DS stays in one place while he naps, so I use a blanket for that. He also has all his toys in there, since he naps in his pack'n'play in the living room.
However, he flops all over his bed at night. Every time I wake up he's at a completely different end and on his belly. We use a sleep sack and feel comfortable with that. I wouldn't feel comfortable with a blanket or pillow for awhile yet, maybe I will by next winter though.