Usually occurs when laying on one's back when wrapped in blanket so that only their head is shown; blanket is also tucked under their feet and under arms. Looks like one is making a cocoon as butterflies would.
Girl walks into living room where she see's her sister watching tv, tightly cuddled into a blanket.
Girl: "Aw, look at you all nestled up there."
Sister: "Yeah, im cocooning, it's the best way to keep warm."