Sheets, a duvet and a wool blanket are a layering problem, and there is already a guide for building that bed. What is left, once the layers are sorted, is heat you can turn off, air that is not dried out by the radiator, and a window that will go dark.
Heat on the bed, not in the whole room
A heated blanket (on Amazon) sits over you. That is a different job from a pad under the sheet. The Sunbeam Royal Luxe linked here is full size, 84 by 72 inches, in a dark grey called Night Fog, microplush on one side and sherpa on the other. It has 12 heat settings and a shut-off you can set for up to 12 hours. Unplug the controller before it goes in the wash. If the bed is a queen or a king, use the size choices on the listing rather than pulling a full across a wider mattress.
A heated mattress pad (on Amazon) warms from underneath, which helps when the cold is coming up through a platform bed. One or the other is usually enough. Both at once runs hot by 2am. For the couch, a heated throw is the smaller cousin, and it is in the renter gift guide.
The air gets dry before the room gets warm
Radiators and forced air pull moisture out of a bedroom by January. A top-fill humidifier (on Amazon) with a 6 liter tank is sized for the room, not the nightstand: about 13 inches tall and 10 inches deep, so it belongs on the floor beside the dresser. The Levoit Classic 300S has a sleep mode that dims the display, and a sensor that holds a humidity level instead of running flat out all night. The maker prefers distilled or filtered water, which keeps a white dust off the nightstand.
Make the window behave
Street light and a cold pane are what a bedroom window does in winter. A pair of blackout curtains, 52 by 84 inches (on Amazon), covers a standard window. These NICETOWN panels are black, two to a pack, with grommets. The dark cloth is the point: it blocks more light than a pale pair of the same weight. If the lease says no holes, hang them on a tension rod (on Amazon) inside the frame. Close them at dusk. The room can stay cool, which is the better temperature for sleep, and the blanket does the warming.
Once the overhead is off, a small bedside lamp (on Amazon) with a fabric shade is the light you want. Low, warm, and not a phone on the pillow.
That is the whole upgrade. Heat you can set a timer on, moisture in the air, and a window that closes the day. The rest of the cozy is already in the bedding.