This sounds like "Ghost V" by Robert Sheckley.
Arnold and Gregor get their first client after three months in business. A real-estate agent needs a planet decontaminated of ghosts. All who have tried to colonize there have come to disastrous ends.
Gregor goes to the planet and tries to find the reasons for the disapearance of the previous group. During the days everything is okay, but at night he starts facing monsters from his childhood/imagination. He manages to chase them away by remembering their weaknesses (including the one you described by hiding under the blanket until daybreak):
The red-spotted monster was taking shape again. Gregor thought back over all the midnight horrors he had ever known. He must have done something as a child to neutralize the power of the unknown.
And then--almost too late--he remembered.
[. . .]
Safe within the ultimate defense against night-horrors--wrapped in blankets that had covered their heads--they climbed out of their bunks.
[. . .]
He patted the bunk affectionately. "You can't beat blankets over the head for protection."
There is a scanned copy at the Internet Archive.