In real life you have to worry about how much is the GROUND you are laying on is absorbing your heat. To prevent that lost of heat, you need some sort of pad under your sleeping bag (and in fact you can use a very light bag, if you have an adequate pad to sleep on.
In olden days, people were taught to form pads of leaves, grass, clothing, and other items to provide some sort of insulation between you and the ground. In the 1950s the US army developed an air mattress, these were good, till their developed a hole (I had one issued to me in the 1980s, Vietnam era purchased, could not hold air, later on I was issued an even older one, that worked like a charm, but by then I had purchased a more developed form pad, which worked better then the air mattresses).
In the mid 1980s, the Army went to a one inch thick form pad, it provided insulation from the ground, thus a huge improvement over the older and leaky air mattresses. In my winter camp provided enough protection to keep you warm in your sleeping bag.
Side note: On one winter maneuver, I had brought with me an army sweater, one of my fellow soldiers asked to use it for his sleeping bag was not keeping him warm. The next morning I went to recover the sweater and found him sleeping in his sleeping bag WITHOUT a pad in the bed of his truck. I told him I can see why the Sleeping bag was NOT working for him, the wind blew under the truck bed and pulled the heat from his body for the bag could NOT insulate him from the cold UNDERNEATH him for his body was "crushing" the insulation. i.e. he had NO insulation from the bag UNDERNEATH his body. He needed some sort of pad to provide that insulation. I told him so, next time he had traded in his old air Mattress for one of the then newer pads, and no longer had a problem with his sleeping bag keeping him warm.
If winter camping, the first thing I would buy would be some sort of pad to sleep on (even if you are sleeping on the ground or on an Army cot). At least buy the one inch army pad, they are cheap.
http://images.cabelas.com/is/image/cabelas/s7_510556_999_01?rgn=0,0,1021,314&scl=2.6868421052631577&fmt=jpeg&id=36CBHQUI5R1BhEPDWwd7N2http://www.cabelas.com/product/Camping/Cots-Pads-Beds/Sleeping-Pads%7C/pc/104795280/c/104712480/sc/104484780/Cabelas-Deluxe-Camp-Bed-150-3034-x-6834-x-334/732379.uts?destination=%2Fcatalog%2Fbrowse%2Fcamping-cots-pads-beds-sleeping-pads%2F_%2FN-1100678%2FNs-CATEGORY_SEQ_104484780%3FWTz_l%3DSBC%253Bcat104795280%253Bcat104712480&WTz_l=SBC%3Bcat104795280%3Bcat104712480%3Bcat104484780This is similar to what I used (I had to get rid of it after about 20 years of hard use, this is an "open cell" pad, the cover keeps the water out, but sooner or later the "open cells" start to collapse, took mine almost 20 years of use to reach that level, but I had to get rid of it). The advantage of an Open Cell pad is the Open Cell "give" and thus more comfortable to lay on and provide greater insulation BUT at increased cost AND the need to make sure the cover prevents the cells from absorbing water. Water into the cell makes it almost unusable (Which is what happened to my pad, after 20 years of use).
http://www.campmor.com/outdoor/gear/Product___43019The above is a Closed Cell Pad made by Theromrest, that is a improvement over the actual Army Sleeping pad, but as noted below not by much.
http://store.colemans.com/cart/sleeping-bag-mats-38-in-p-1759.htmlThe above is the Army Closed Cell Pad, at $7 a lot cheaper the the 3 inch open cell pad above (Which sells for $81,00) and a lot cheaper then the Thermorest (Which sells for $18-$24) and in many aspect good enough for most purposes.
As for sleeping bag itself, once you have an adequate sleeping pad, the quality of the Sleeping bag is less and less important (i.e. you can use Army wool blankets with a poncho and liner and be warm enough and protected from the rain and snow of winter IF you have an adequate sleeping pad).