Moving blankets are not intended to keep things warm. That being said, blankets are in the name!
There are different thicknesses of blankets, some with filling in them. It is certainly possible that you could use them to keep warm with. However, these blankets may not be as cozy as you are thinking. Some of them are coated in a wax-like substance which is not the most pleasant to touch. Other blankets are rough to the touch as well.
You may consider moving blankets to keep warm in a emergency situation, but you would not want to use them for everyday warmth.