I've spent a few nights without a sleeping bag, using a wool blanket and I was really cold. It was a long time ago, so I don't recall the temps, but every time I've done it I woke up cold and shivering. Admittedly I didn't use that cool wrapping technique, and at least one time I was outside of a shelter, nestled in some rocks with no fire (I had loaned my bag to a girlfriend, around 3:00 a.m. I got a lesson on how to fit 2 people into a mummy bag by using it as a blanket)
I was ecstatic the first night I slept in a real sleeping bag: actually warm while camping. Plus for the weight you could have a pretty substantial sleeping bag.
That video was hilarious, I have an Australian Shepard, much like the one in the video, and he does the same thing, always walking over to inspect when you lay on the ground, and then laying next to you