I lie on both my right and left sides, and sometimes even on my back, although I find that makes me wheeze a bit.

I've found a pillow tucked between my legs really helps - I didn't think it would, because my legs weren't uncomfy - so I've been surprised at what a different it makes.
I also use a second pillow to kind of hug - it gives me something to rest my upper-most arm on (instead of my belly).

Having said that, I'm still so sad that I can't sleep on my tummy anymore - that has always been the comfiest for me, but after about 19wks it just started to hurt.