Players should be able to buy and use Sleeping Bags, if guards can have them, why can't adventurers like us have them? It adds a bit more RP, and it gives adventurers the "Rested" or "Well-Rested" bonus more often, rather than going to a house/inn just to get it.
We should also see our character spreading out our sleeping bag before we use it, and folding it after we use it.