I would say that the cotton will be almost as warm, wool would be great too, and you can also dress dc in layers.. I have noticed the one pj set that dd has (it matches one dh has and i couldn't resist) does not absorb perspiration, and she seems kinda sticky under there when she sleeps. DD (2.5) is wearing cotton sweat pants/shirts to bed this winter and they are working great.
google ruskovilla to find some really nice wool sleepers. also sleep sacks work really well for little babes who can't have covers over them, it makes it easy to layer.