My wife was a habitual cover stealer for a long time. I can't tell you how many times I woke up on a cold winters night shivering with nothing but half a sheet to keep me warm. We tried several things to solve her blanket thievery including getting separate blankets, which worked fine but it was incredibly inconvenient. We did however finally fix our problem for good.
Cover Clamp is a great product that did the trick for us. We use it every night, Its a pretty simple gadget that hooks up to your sheets and blankets with a clamp and attaches to the bed via a pad that goes under the mattress or by securing the strap to the bed's frame.
Here is a video that explains how it works: