Sophie sleeps against my chest, nestled under my armpit (I sleep on the side with one arm stretched out). Squirrell will usually sleep by my feet, or if he's allowed to by Sophie, snuggle up next to her so he can be with me. When Sophie's not sleeping with me, he takes her place and rolls around cuddling me. Sophie has to be under the blanket, no matter what. Squirrel has to be on top of the blanket, or next to it.
Sometimes he'll sleep under the bed. I think he's trying to play guard cat when he does, because he keeps a constant watch on me whenever he's under there.