I always make them 36x36. Just two layers of flannel sewn together with some quilting to keep them together, I have use decorative stitching for the quilting.
All of the rectangle ones I ever used, and I used a lot with six babies, wouldn't stay wrapped around the little one, there was always a foot hanging out. But the square ones are even and most of the time wrapped up the toes stay inside.
Ethel