What kind of baby blankets are you supposed to use?

I just received the bedding set with a quilt was used before as a wall hanging. I guess I'm not supposed to use the quilt for fear of suffocation. Thats fine but what kind of blanket am I supposed to use? I would like something warm and kind of thick not the little security blankets. Any suggestions on a brand that is soft and thick that won't suffocate? Thanks, I'm going to be a first time Mom and just want to do it right.