I have a similar set-up, except the pillow that goes between my knees is long enough to also hug and then I usually arrange a corner of my blanket on top for extra height.
When it comes to the pillow I rest my head on, I've found that the best possible filling is little memory foam cylinders for some reason. Not shredded memory foam, which I've also tried, but cylinders. They're about the size of a finger except thicker, and make the pillow very adjustable - a concept that I always thought should make no sense since memory foam is supposed to keep its shape, and yet I've never had a better pillow.