Albert makes himself a cave to sleep in out of the covers when we're not in bed. Other than that, he LOVES to crawl under the fitted sheet! It's so cute, there's this little bump running around under the sheet. He drives Cleo nuts when he does that!
Four of mine (not Persil - she prefers to be on top of the covers) sleep under my duvet for at least part of the night. I used to worry about it too, but they have always been fine. Sometimes they go right down to my feet and sleep on my toes.