Hmm.. Can't remember if my folks ever gave me any advice/threats about nocturnal supernatural activity. However, something which a lot of us have mentioned as a staple 'fact' of youthful night-time fears is the idea of the blankets being an inpenetrable shield which bedroom invaders can't pass. To this day, I find it easier to get to sleep if all my extremities are under the covers, preferablt with the quilt tucked under all round me. To be fair, as an adult, I also acknowledge that this is because some of the houses I've lived in over the years have been freezing cold. Maybe the warmth/'wrapped-up-ness' is a subconscious reminder of even earlier infant experiences, ,being wrapped up in bankets and held close as a small baby, or maybe even a womb-memory-type-thing..?
Oh, and mine wern't wolves or vampires, they were far less specific (and therefore for me even creepier - after all, I knew what vampires and werewolves were scared of, but how do you fight off a 'thingy'?). However, one other thing that could keep them at bay was by keeping my eyes closed - what was I thinking? That whatever was under my bed had some sense of 'good form' and wouldn't attack me unawares? Kids, eh?