I don't know if this was said yet, but I (along with most of my studio at CMU) take fleece and fold it to the size and height we want it, then wrap it in the black non-slip shower/rug mat material you can get in a roll at the dollar store and sew it around the edges. has always worked great for me, especially seeing as I have tendonitus and scoliosis!
By using the non slip material it makes it easy to adjust where you hold the horn without it slipping off of the pillow. Mine I made large enough so that I could set it in the middle of my lap and not to one side. hope you find a solution that works for you! =]
Keera Allen
Senior, Central Michigan University
Music Education: Euphonium, specializing in baritone
Willson 2950TA Euphonium
Yamaha YBH 621 Baritone
Nirschl I-400SP Baritone