I also do the pillow between the legs and I find it soo much more comfy than without it.
I sleep on my side and have one pillow between legs and another skinny pillow under where my belly is and I find this helps make me more comfortable. I'm not quite as far along in my pregnancy as you are though. I also find it helps to be more flat - as in, not using a huge pillow under my head. DH doesnt like it because I take up too much room in bed with my pillows, but its the only way I can be comfy.