We have the same issue... I like the footed bc it's winter and I feel like they are warmer, but we are moving to 2 piece sets bc I can't keep buying new pj's all the time, plus they are so baggy on her when I go up for the length. Anyways, I believe Carter's (online, not in store that I have seen) have fleece 2 piece pj's, which would be a little warmer than just cotton. Right now we have Carter's and Old Navy pj's and they do their job. I also use a sleep sack, which I like because it helps keep her warm... we have a winter weight Aidan and Anais one that is much longer than the Halo one we have. HTH!
We use two piece sets and use a halo or summer infant sleepsacks. I think it's easier to change him if he needs it with this combo and he stays super warm. I usually don't put socks on him cause he just fine. He isn't so much long as too wide for the footie pjs.
Re: Pajamas? (Long baby)