Yes sleeping with a pillow between your legs is a good thing when you're sleeping on your side.
Not only does the pillow between your legs help you sleep better and makes you more comfortable the pillow between your legs also helps keep your spine in alignment.
When you sleep without a pillow between your legs your legs can pull your upper spine out of alignment but when you have a pillow between your legs you're not at risk of pulling your upper spine out of alignment.
So you sleep better and more comfortably on your side with a pillow between your legs and you also keep your spine in the proper alignment.
I get much better sleep with a pillow between my legs than I did when I used to sleep without a pillow between my legs.