I was advised to use a light blanket to wrap around my baby's body and legs prior to placing them in a sleeping bag, during very cold evenings. Is this safe?

This is not a recommendation of Red Nose.
Red Nose recommends to dress baby according to room temperature & to add or remove bedding/clothing to ensure baby is warm or not overheating.

Dress baby for sleep using layers as you would dress or use layers yourself: to be comfortable, neither too hot nor too cold - add/remove lightweight blankets to ensure baby’s tummy or back feels comfortably warm to the touch
https://rednose.org.au/article/how-much-bedding-does-baby-need

Are you referring to a sleeping bag with arms out or a swaddle suit with arms in?
How old is your baby?
Most babies will be rolling by 4-5months. At this stage they would need movement of legs to assist in rolling safely.