Certainly NOT! Grab in full the end part of the pillow and guide it until the end of the cover. Once you have it on the right place just spread the filling with some slaps to remove any bumps, after that slide the cover up through the leg keeping clamped both cover and pillow at the lower end. Do the same operation for the other leg and just close back the zippers in your pillow cover.
And NOW we have upgrade versions, the zipper runs the full length of the pillow cover, making it much easier to remove and put in the pillow cover.