I went visiting teaching yesterday. My partner Myra happens to be a nurse. A nurse who is experienced in orthopedics. Myra gave me a great tip that involves nylons.
I took a pair of practically new nylons (I had mistakenly purchased a pair of suntan colored nylons - yuk!), cut off one leg, then the toe and made a small opening for my thumb. Steve had to do most of the cutting, and he had to help me get it on, but once on it was a nice cover for sleeping in.
I promise I won't be wearing it in public, but it does smooth out almost all the prickly bits of the cast so that I didn't spend the night getting it caught in the sheets or sanding the skin off of Steve's shoulder.