my sister swears by the 'miracle blanket'. she's now using it with her second child. i've seen how effective this technique is.... boy oh boy how i wish these were around when i had my babies!
I've used the Grobag swaddling blanket (got it from Annerley) --and I just loved it! It's soooo soft and so effective at keeping the baby swaddled. I just wished they came in bigger sizes, as my little girl outgrew hers around 2 months.
I use large recieving blankets, if you do it up tight enough, you really don't need a special swaddling blanket. If the baby is escaping you are either not doing it tight enough or the blanket is too small.