There was a thread about the WWII Russian soldiers blanket as they did not use a sleeping bag. I would imagine it would be very dense weave wool ?
EDIT- Details below from the page
http://www.armchairgeneral.com/forums/archive/index.php?t-13985.html
Let’s start into a normal routine day, beginning with how he sleeps (I will use he in this article, although "he" could just as well be a "she" no matter if we’re talking about infantry, mortarmen, tankers, or whatever). If he has a rain-cape/shelter half, he might have used it as a ground sheet to lay on, wrapped up in it, used it as a lean-to, or teamed up with a comrade to actually pitch it as a tent. Manuals show it with issue stakes and poles, but apparently most soldiers only carried the cape itself, in horse-shoe fashion over the shoulder with its issue rope or some other strap. Photos of it in use as a tent are rare, and it can be assumed that he either used sticks as poles and pegs, or some other expedient method. Use your own ingenuity.
Blankets, which were brown,(1) although issued in garrison environments, were not issued for field use. Soldiers were expected to make do with greatcoats. Here is an example: "On cold nights I shared a greatcoat with quite a few of my wartime comrades in the fighting lines. Many of them have since fallen...There is no brotherhood that binds people closer than the brotherhood that’s born in the lines, and a shared greatcoat is one of its symbols. You feel warm and secure with a friend close by. Actually, there are two greatcoats for two. A shared greatcoat is just a figure of speech. So what happens to the second? Duffel bags or lambskin mittens (with two fingers so it’s easier to shoot) are used for pillows. The individual tents that double up as cloaks are used a mattresses and the greatcoats are the blankets. The shabbier one covers the feet and legs and the newer one the upper part of the bodies. Both men settle down on the same side. If there is the blessed chance of taking off your boots, the feet are tucked into the sleeves of the greatcoat - a pair of feet to a sleeve. The upper greatcoat is pulled over the shoulders, the shoulder of one fits into the right sleeve, the shoulder of the other into the left. The result is a kind of sleeping bag, warm and cozy. If it gets inordinately cold, the greatcoat is pulled over the heads - one head in one sleeve, the other in the other. When one side goes numb and the other freezes stiff, both men turn over simultaneously and the fitful sleep of the soldier continues." (2)
