Haha. Smoking under a blanket sounds extremely unorthodox...and yet...I'd love to try it. Like Rambler mentioned, you're creating your very own mini hotbox. There's nothing unhealthy about that...unless you consider the smoking (and re-smoking--via hotbox) Cannabis unhealthy. And we all know that's rubbish and a half.

Keep the flame away from the blanket, and you'll be more than straight. Happy toking.