S.R.
I don't know if you are a sewer or not, but with my two kids I used a receiving blanket that they had. I folded it in half (once or twice) to the size I wanted the pillow. Then sew all but one side. Then I stuffed it to the firmness desired and finished the sewing.
This pillow (blanket) is something that they are already familiar with and I just laid their head on it when putting them to sleep... no issues.
It is also nice because you can make it smaller than a regular pillow (like the travel size others speak of), and it is their own (no arguing over who's pillow is who's).
Good luck with the transition,
~SR