Nina had a blanket from Day 1 at the Hospital.
I was careful about keeping a constant eye on her, but she usually would kick it off of herself anyway. She didn't like being swaddled once she was about 1 month and a half old or so, so I'd just sort of tuck her in. I made it into a little game, to get her to accept it more since the house we lived in was ALWAYS cold no matter what, and she still loves being tucked in, though now she uses two blankets (one to cover her, and one to hug while she sleeps)...I would take the blanket, drape it over her loosely, and then move my hands quickly to tuck the blanket under her, all while saying "tuck-tuck-tuck-tuck-tuck"...one tuck for every hand motion, using "Happy Mommy" Voice and smiling. She loved it, and still does.