Sleeping Bags can be created at a (Basic) Medical Workbench or bought from a Travel Shop. They are used as the only ingredient in a Camp Bed which can be placed via the "Building menu". When the Camping Bed is dismantled a Sleeping Bag is returned, allowing for it to be used again.
Unlike other medical items, Sleeping Bags are often neglected by adventurers. As evidenced by the item's description, they can mean the difference between life and death in the wilds. Take these with you!