When I was pregnant I made this awesome snuggly-wrap from Lotta Jansdotter's Simple Sewing For Baby.

Unfortunately, Jude did not enjoy to be swaddled:
I had fleece and the cute tattoo fabric left over so I decided to make this very quick and functional blanket. Which, as you can see, he definitely prefers:

So here's how I did it. You will need at least a yard of cotton fabric and matching fleece plus one pack of coordinating baby blanket binding.
1. Wash your fabrics and press the cotton.
2. Cut your cotton fabric to the length you want. (My leftovers were a little over a yard.)
3. Lay your fabric on top of the fleece and trim the fleece to match. (The fleece is a little clingy so once you get it flat you shouldn't have to pin.)
4. Starting at the bottom, close to a corner, pin your binding (shorter side on top of cotton fabric) to both layers. At the corners create a mitered edge by pinching the layers with your hand, pulling the binding up to meet the next side, and pinning the fold nice and flat.
5. When you come to the end; trim the excess binding, leaving a few inches of overlap, and tuck the edge in so you have a nice finished edge.
6. Sew all the way around the binding ,very close to the edge, with the cotton fabric side facing up. I used a pretty close stitch, if the binding puckers adjust your tension.
7. Lastly, sew up and down the mitered corners so they lay flat and look nice and clean. Enjoy!