It is not permissible for two who have reached the age of puberty to sleep together under one blanket. The Prophet (peace and blessings of Allaah be upon him) said: “Teach your children to pray when they are seven years old and smack them if they do not do so when they are ten years old, and separate them in their beds.” Narrated by Ahmad, 6689; Abu Dawood, 495; classed as saheeh by al-Albaani. 

If this is the ruling concerning those who are ten years old, then how about those who are older than that, who should not be in one bed but rather should be in two separate beds with two separate blankets? If there are only two covers and one of them is not sufficient to ward off the cold, then each person should take one cover and fold it in half so that it will be thicker and will ward off the cold, or he should buy another blanket. 

Al-Haafiz ibn Hajar said concerning a number of people sleeping in one bed: It was proven via another isnaad that this is subject to the condition that they do not sleep under one blanket.  Fath al-Baari, 7/204.