Just a quick comment about rocking her to sleep. You do not want to do that because you are now teaching her that you will rock her to sleep and she'll want to be rocked to sleep. You're creating another difficult situation in which she'll want to be rocked to sleep. Now, you have two difficult situations. I'm thinking of all the mothers who write asking how to get their baby to go to sleep on their own. :)
I don't understand why it is so important that she keep her clothes on, especially when she's in bed. If she gets cold she'll stop taking her clothes off. Toddlers and children are just not as sensitive to the cold as adults. If she doesn't wake up during the night, then she's OK. IF you're saying that her room temperature is 40 degrees and she's not waking up, that's another problem.
If she wets her bedding because she doesn't have a diaper on put a waterproof mat, like a changing pad only larger, under her. If it's daytime and she's in the house what is the concern. She may wet or poop on the floor but that can be cleaned up. Also, when that happens that does give you an opportunity to talk about why she needs to keep her diaper on.
Tell her that she can take everything off except her diaper. Make a compromise. That may work.
I believe that if you pay little or no attention to her stripping that she will stop doing it sooner. Look at the attention she's getting now. She may even think of it as a game.
This too shall pass! This a a good example of how we can teach our children by allowing them to feel the consequences of their behavior. You're concerned about her being cold. Let her be cold. If she is cold and feels it for a period of time, she'll be more willing to put her clothes back on.