Check out the Hammock Forums. there is a lot of information about insulation. Most people don't use a bag in a hammock, some use a pad. It seems like most use an underquilt on the outside of the hammock.

The problem with a bag is that when laying in a hammock, you will compress the bag and won't have much insulation. Pads work, but are often too narrow for use in a hammock. The underquilt will allow you to lay in the hammock without compressing the insulation. It is also made to wrap around your sides.