Shelter in a sleeping bag (3)
I believe the answer is:
lee
'shelter' is the definition.
(as in lee side, the side sheltered from wind)
'in a sleeping bag' is the wordplay.
'bag' indicates the answer is hidden within the clue (I've seen 'bags' mean this).
'LEE' can be found hidden inside 'in sleeping'.
(Other definitions for lee that I've seen before include "Shelter" , "Robert E. - - , US hero" , "Cork river" , "Towards the side away from the wind (naut)" , "Protection" .)