To make a bedroom cosy, it needs to be not too large, have curtains/blinds so that you can see out slightly and no one can see in (a partial block out blind perhaps), and lights fitted to the side of the bed that could be dimmed.
Team that with a pretty doona cover or blanket, with lots of various sized cushions on the bed, and voila -you have a cosy room.
Add some soft music to make it more cosy and enhancing and, of course, if it is winter, the heating must be on!