Our kids have grown up winter camping.
Outback trips as babies and down the Snowy in winter.
We use thermals, and when they were younger the grobags were good.
However, we found that a good quality sleeping bag with a rope or tie so they cant slip down worked wonders.
As they grew we just move the tie down.
A good quality sleeping bag will keep you warm even in the coldest of weather.
We just did Easter down in the high country and were warm with just good quality sleeping bags.
Its one thing not to skimp on.
For kids that keep wriggling out the top of the bag, we used to use an adult size bag that was wide so they could still wriggle, but it kept them still in the bag.
The excess foot area was tucked under them as an extra layer of insulation.
The cold usually gets you from the bottom, not the top.
Insulating under is far more important than layering on top.
Good luck with it,
Brian