I've been having the same issue with sleeping. Last week I bought a body pillow (the really long maternity pillows) and since then I have been getting the best nights sleep since I fell pregnant!
I rotate between being on my side hugging the pillow with one leg under and one on top (which is alot more comfortable than I thought it would be) and putting the pillow behind me so I it gives me the feel of sleeping on my back but has you on a bit of an angle so all the weight is moved to the side. I tried perservering with european pillows and normal pillows but I got frustrated with moving them all around so I'd end up chucking them on the floor half way through the night. The body pillow only cost me $25 with pillow case so I reckon it's definitely worth it!

Good luck