On my side and usually clinging to the nearest lucky pillow or stuffed animal, but I don't favor either side.
And I can't sleep at all unless I'm under the covers (I switch to a sheet in the summer though x3 ).
...that's oddly sort of adorable. xD Your bed must be covered in masses of pillows though.
I sometimes do this. I turn on my left side with a pillow under my head, I have a pillow between my legs, one in front of me to cuddle with and then one behind me to make me feel like the little spoon. Lol.