A changing bag is nice to have, by the way, particularly if you live somewhere it never really gets dark.
I used to just use a darkened bedroom at night and load under a bunch of blankets and comforters to protect from sneaky streetlights or whatnot. It's more than sufficient, but not always convenient to wait for dark if you don't have like a windowless room or whatever.
I scored a pretty nice one on Ebay for not-much-at-all. (Yeah, actually 'nice,' too, which was a bit of a surprise to me: they're usually pretty much the same nylon-jacket-kind-of material. Whoever made this one didn't take any credit for it, unfortunately. )
Come to think of it, you can even use a suitable winter parka or improvise one out of a couple of old jackets. I used a policeman's, once to rescue some film someone had managed to break off inside their camera.