Last year I modelled a lot of beds for one project, and as with most things I definitely improved with practice. I ended up getting the most satisfying results modelling the sheet in Marvellous Designer, then the duvet and pillows back in 3DS Max using cloth simulation, before returning back to Marvellous Designer to model the throws. In this instance I then used VRay fur on one of the throws. The great thing about modelling the throws in Marvellous Designer is that they come into Max already UV mapped making it really easy to change the texture of them.
If it would be helpful let me know and I can put together a tutorial covering the process.
For anyone without the time to start from scratch you can get this bed from Turbosquid.