Sleeping on your back with proper knee support is usually the best as it helps with digestion and helps prevent muscle strain and strain on your heart.
There's really no harm in sleeping on your side though if you prefer and are more comfortable sleeping on your side.
I sometimes will sleep on my back and I usually get a much better nights sleep and wake up with less pain in the morning.
Then sometimes I feel more comfortable sleeping on my side at night so it can vary and there really is no wrong way to sleep.
If you do sleep on your side it's best to sleep on the left side for better blood flow and to prevent night cramps.