I co-sleep about half the night and the rest he's in his bassinet beside the bed.
I dont ever have my blankets any higher than my hips, so he cant get caught under them, which doesn't bother me becuse I'm a hot sleeper and also I'll usually have a pillow between my knees so I cant roll over without waking up.
When I was in the hospital the nurse put a small rolled up towel on either side of baby just wedged under him a little, so he couldn't roll either. The nurse also told me when he's co-sleeping to just have a blanket tucked over him, rather than wrapping him, because if he does get caught under the blankets, he needs to have his arms and legs free to wake me.
Theres no significant risk in my opinion with co-sleeping, people have been doing it since the beginning and some cultures believe its safer, as when the baby is by your side you cant help but be aware of their breathing and movements - The only real danger comes in when you've been drinking, taking drugs or using medication that make you drowsy.
I love co-sleeping, its almost a guilty pleasure, as its something I was never going to do, I'd planned to put baby in his own bed in his own room from the beginning, but I just love holding him all night, he's so sweet and beautiful!