The blanket is tucked in between two sheets. I usually bring warmer pajamas for my kids when we go to Disney, even in the summer, as the AC tends to be chillier than we keep it at home.
Your girls are going to LOVE the Little Mermaid room. I took my 5 year old in January and it blew her mind from the moment we walked in. Her favorite part was the bathtub/shower that was designed to look like Ariel's grotto. The rooms are quite a hike from the main building and transportation, so if you don't have a double stroller, I recommend renting one from an offsite vendor like Kingdom Strollers or ScooterBug. Even your six year old will benefit from it for the trek to and from the Skyliner, buses, etc. Our room was as close to the Lion King section as possible, and I still felt like it was a long walk. I didn't have a stroller and ended up piggybacking my daughter several times during our quick, two-night stay. I wouldn't want to do that in spring or summer when it's warmer. Have such a great time!