Ella used to move around heaps in her sleep as well, and moving her to a sleeping bag didn't change that at all (she could still rolling,crawl,walk,run, jump in the sleeping bag)....BUT at least I knew that she would always be warm no matter whereabouts in the cot she ended up. So yes I would recommend some sleeping bags for winter.
I was worried that she would always need to be a sleeping bag, but thankfully she has recently started to outgrow this and even through she still turns a lot in her sleep, she now manages to sleep underneath a duvet.