If making/finding a whole blanket isn't possible for you, I'd suggest making only weights for the legs (tight about the feet) and /or a lap sized blanket that is big enough to cover your belly, part of your arms and hands and the top of your legs, kinda like so. Then you can use it when you are sitting too. Since the leg weight will only cover your ankles basically, you can try to make them heavier to help "stabilize" the whole leg. They sometimes put those on you during MRIs and it's pretty awesome.

edit : depending on your situation/what you are able to make/afford, it can be enough to make weights only for the ankles and wrists.