J.B.
I don't know about the train, but maybe the blanket...
My little guy won't use a sheet, or the cute comforter we got him. But, he loves soft fleece. So I took him to the fabric store and let him pick out some fleece-they have practically every cartoon and animal you can think of at JoAnn Fabrics. So it was one layer he picked out and a plain color for the back(the plain is usually a little cheaper). Then I just cut and knotted it, now he sleeps under that and stays toasty. I think I got 3 yards so it would be about the right length for the bed. Also I put the comforter on the bed over it and fold it down to the end at night -cause he won't sleep with it on him- and that helps keep the fleece spread out and covering him as he moves around at night.
Good luck! And Merry Christmas!