It's called a Woombie. Pablo was not an easy sleeper and swaddling helped a lot. Unfortunately, he outgrew his swaddling blankets very quickly and by the first month he was strong enough to break out of the wrap. We tried "pinning" his arms down but he's a very strong-willed little boy and would scream in protest.
Another option is the Miracle Blanket. We didn't get to try it because it wasn't available locally and by then we had learned to live with Pablo's sleeping needs.