Choose a blanket made from a material that insulates well, such as wool or velvet. Big, puffy blankets are a good choice, because air is a very good insulator.
Fluff up the blanket on the air dry setting in the dryer. This adds air to the blanket to increase its insulatory power.
Lie down on the blanket, with only your head off of it.
Fold the bottom edge of the blanket up over your feet, and then wrap one side of the blanket over your body, tucking it under you as needed.
Ask someone else to wrap the other side of the blanket back over you and tuck it beneath you. You should now be wrapped up like a burrito, which should minimize the possibility of air coming in through any gaps in the blanket.
Make the opening as airtight as possible by having someone else pull it tight around you and tuck it under securely.