I agree that it sounds like you need to upgrade to a better sleeping bag. Everything else sounds pretty good. The air mattress won't insulate, but the closed cell pad should have taken care of that. With a better bag you wouldn't have needed the blanket, either. A wind/waterproof bivy bag will help a lot, too.

One tip we use snow camping in the Sierras is to put a hot water bottle in the foot of the sleeping bag. You have to melt snow for water, anyway, so the last time you melt a pot of snow at night, heat it until it's warm (NOT HOT!). Pour it into your Nalgene bottle, seal it in a 1 gallon ziplock baggie, then another, then put it inside your sleeping bag all the way at the foot. It'll keep you warm for hours. Just don't let it leak.

Kevin B.