I use a full body pillow (you can get them at Walmart for 8 bucks) and sort of wrap myself around it. It's between my legs, under my belly, and sometimes I even sleep with my head on it. Some women like those pregnancy pillows, this basic one worked for me. I usually try to start the night on my left side, but sometimes I do sleep on my right.
It's ok to change position as long as you're comfortable. I can't sleep in my left either so I'm on my right most of thd time. The only issue is if you sleep on your back to make sure you pop an extra pillow under so your not flat, especially when your belly get bigger. Otherwise slept however you feel comfortable.