My suggestion would be a polarfleece blanket (or two) - they are not compressible, but they are a nice thing to have around in general anyway - rolled up as a car pillow, as a picnic blanket, to cuddle up in on a cool night...

There's lots of cheap commercial ones around these days, or you can just get a piece of polarfleece from the fabric store and make your own custom creation. Our whole clan is in love with polarfleece for jackets, blankets, hats, etc. - a very warm material, dries fast, still okay insulation when wet, lightweight, comfy.