Abdullah bin Abd al-Rahman bin Thabit bin Samit narrates from his father, and he from his grandfather (may Allah be pleased with him), that the Messenger of Allah (peace and blessings be upon him) was praying in the mosque of Banu Abd al-Ashhal, wearing a sheet which he (peace and blessings be upon him) had wrapped around himself; he (peace and blessings be upon him) had placed his hands upon it, and in this way he (peace and blessings be upon him) was protecting himself from the coldness of the pebbles.
It has also been narrated through another, weak chain.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الصلاة / 2675