Warm water, deep bedding, extra hay for tonight. Then try some desensitizing with a different coloured smaller “item” that doesn’t quite look like ‘the bear’, working up to an actual blanket. If you are really determined to get him covered (don’t blame you!), I know some folks like the blindfold method for skittish horses but that is a judgment call between you, your heart and your horse. Might work in a pinch and as a once or twice approach. Not my first choice but I have seen it work often enough. Good luck, and be careful! Stay warm, too : )
Sure there's right and wrong but mostly there's just a whole lotta different.