Using a pillow is a personal choice and one that comes out of habit.
The height depends on the distance between the shoulder and the head, while sleeping sideways. It should not be such that the head is out of alignment with the rest of the body.
If it is too high the other side of the neck will pinched and eventually could lead to cervical problems.
At this point, one would also like to point out that watching television while lying down and propped on a pillow, can also lead to problems in the neck.