To make the sleeping bag you're going to need a few supplies and a few structures.
44 fibrous leaves, 13 sticks, 3 pieces of rawhide and 3 cloths.
Turn the 32 fibrous leaves into lashings to make 8 in total.
Craft the Loom structure and craft the Tanning rack.
Once done, craft 3 cloths, you have to be standing near the loom.
Do the same with the 3 rawhides and turn them into leather. (If you can't find leather follow these instructions - Save > Back out to the main menu > Cartographer > New Island > Animals Tab > Toggle to the wild boar setting to 2/2. Apply the settings, back out and save, chose any name and any description and once done go to World Editor, and 'Replace Island' on the island you want to replace, back out and save. What you'll find is that your custom island is now where you put it on your map. Go to the island, collect the rawhides you need.
Once you have the 3 leather and 3 cloth go to the furniture section and craft the sleeping back.
Achievement unlocked, now enjoy the rest of the game!