The correct physics answer is: quit using a blanket when it's hotter outside than inside the smoker. :-)
Probably a better engineering answer is: quit using the blanket when the hassle outweighs the benefit. If it's so cold that your pellet grill seems to be running the auger nearly continuously, the benefits of the blanket are clearly present, so use one.
But, unlike electric-only smokers (running on a 120V/15A circuit), most pellet grills have Plenty Of Power to Spare for temps over 40F. (Heck, probably even 0 degF.) So I personally rather like the convenience of taking a peek now and then, moving the meat, spritzing a bit, adding more chips to my supplemental pan/tube, etc. So 40F for me is kind of the point at which I'd rather move my body inside the house and watch my smoker through the glass slider than do any of those warm-weather fun things! So I'd put on a blanket (or I'd probably use a cardboard box, but that's just me) and go inside where it's warm for me.
But if it's warm enough to "tend the fire" (good excuse for a cold beer!) it's warm enough to let the pellet auger just do it's thing. At something like 50-70F, the difference in your temp swings between no blanket or with, given a set point of ~200F, is going to be about 20 deg F vs 19degF, which I'd consider negligible, and having zero effect on food taste. (I believe the subject of temperature swings is widely overrated. If it's troublesome to someone, they should NEVER open the door/lid, and probably should have bought an electric smoker, not a wood-based one.)
Now the difference in pellet usage may be as much as a couple percent, so you might pay for the blanket in a few hundred smokes, but if you're really worried about pellet cost compared to the hassle of using a blanket, you probably bought the wrong smoking machine. And remember these pellet machines move a lot of air. On a BTU basis, a whole lot more thermal energy goes out the exhaust vents than what is convected away from the metal walls of the vessel.
Season to taste! --Bill