For newborns, you dont't really need to. But what i did for my dear daughter was to stack a few pieces of folded cloth nappies to put under her head because she spits quite a bit of milk.
Pillows that are too soft may also suffocate bbs. Good to get a sleep positioner though, so that baby is kept in position while asleep.
I got a latex pilow for my dear daughter that I'm now using as a sleep positioner.