Sleeping Bag This song is by ZZ Top and appears on the album Afterburner ( ). When it's cold outside and you want to sleep in Go for a pallet that Sleeping Bag Lyrics: When it's cold outside and you want to sleep in / Go for a pallet that's so nice and thin / Zip it on around while it's on the ground / Spread it. "Sleeping Bag" is a song performed by the band ZZ Top from their album Afterburner. The song was released as a single in and became their most. View credits, reviews, tracks and shop for the Vinyl release of Sleeping Bag on Discogs. Directed by Steve Barron. With Heather Langenkamp, John Dye, Frank Beard, Billy Gibbons. A music video was made to promote the song. The video revolves . In a interview with Spin magazine, ZZ Top guitarist Billy Gibbons shared his thoughts on the evolution of the sleeping bag: "Sleeping bags used to be a real.