Many babies love to be swaddled. Many times it can keep the baby from startling her/him self with the startle reflex and waking them. Some babies like to be swaddled for months because it keeps them contained and cozy like they were in the womb.
Take a look at this video posted on BabyCenter.com on how to swaddle your baby… Great video for those who are looking to learn how to swaddle. Practice makes prefect