I have a end-zip rab bivy bag and have lost track of the number of times I have woken up to find whatever I'd been using as a pillow has escaped in the night. Annoying if it's an inflatable pillow, properly annoying if it's a down jacket which is now soaking wet.
Had a very quick sewing machine crash course from my other half and knocked this up before heading out for BAM on the Norfolk coast.
Basically a long strip of material folded twice and sewn together. One of the folds was sewn up to make a pocket.
You slide it over your mat then stuff your jacket in the pocket. And it's still there in the morning.
Doesn't look too flash, but worked a treat and only took 10min to bodge together from a bit of old tent inner.

And with the jacket in...

I just put my "pillow" into the hood of my sleeping bag.

Think I move around too much in my sleep for that - seemed to end up on top of my head.

This also should work well with the quilt which doesn't have a hood.

Another reason not to buy a quilt then

I use a jagbags silk liner under my quilt. Super comfy, makes it like a real bed and has a pillow slot.
Probably 150g you may not want to carry but I love it. Worth it for a good nights sleep in my case.

In the spirit of 'double uses' I zip up my thin fleece, slide it down over the mat, then shove the pillow inside the fleece. No piccy cos photofucket has done the dirty on us.