Infant Clothing For Girls

I keep the heat up pretty high at night but when we go to sleep I still always sleep under a blanket. I feel guilty though b/c my 4 month old isn't covered up. I normally have him sleep in a long sleeved onesie & a pair of heavier "feet" pj's. Even w/ the heat up the house can be pretty cold when the heats not on, when it comes on we bake. I just get nervous that my baby is cold. Sometimes his nose or legs feel cold. Will a baby let you know if they are cold, i.e. cry? Does anybody know what a baby does when they are cold? & also, what do you wear on your baby at not to keep them warm (but not too warm. My son typically is hot when others aren't)? Thanks.
He refuses to sleep on his back & sleeps in his bouncy chair haha. I don't use blankets w/ him as of yet b/c of the SIDS risk.