Swaddling infants dates back thousands of years. The technique of wrapping a baby with a cloth not only comforts the infant, it gives them a sense of security. It not only helps keep a baby warm, it can help a baby from being disturbed by his/her own startle reflex.
The video below shows how to double swaddle a baby. It looks like it really calms this baby. As soon as mom is done, baby is ready to go to sleep!