Gee, I would've thought a little thin pillow wouldn't be too dangerous... But then, I've broken a few of SIDS and KIDS rules in the past. I guess it's up to you and your judgement.
Natty sleeps fine without one. She too likes to rest her head against soft things when she's tired... But I'm more concerned about having another thing to wash, LOL! I'd rather avoid it for as long as I can :P