It is narrated from Sayyiduna Ibn Abbas (may Allah be pleased with them both) that I saw the Messenger of Allah (peace and blessings be upon him) praying in a white sheet on a cold morning; he would protect his hands and legs from the coldness of the ground with that sheet.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الصلاة / 2676