I know what you mean about it being cozy having your dog in bed with you.
Marty sleeps in bed with me but he likes to sleep right next to me and that will wake me up. I have a queen size bed so my dog has plenty of room to sleep . He can sure take up a lot room for a small dog . Have you tried buying a dog bed and letting your dog sleep in your room? you could put right next to your bed and maybe your dog will feel like he sleeping in bed with you too.