There's the winter 3.5 tog Gro-bags but what about their little arms getting chilly?

This is where the Gro-suit comes in. 

From around £14.99 for a twin pack they're designed to be used with a Gro sleep bag in temps below 16 degrees celsius. They have quilted sleeves to keep your baby's arms warm rather than your usual cotton sleep suits.

The Gro-suits have padded arms, so when combined with a bag they're essentially a sleeping bag with sleeves. 

Gro-bags are purposely made without sleeves to comply with British safety standards to aid heat loss and air circulation, so baby doesn't overheat.