I primarily watch movies with these headphones, sitting in a chair that's so comfy, falling asleep has become the norm. I've zonked a couple of times with the HE-400s on my head. Once while listening to music- I woke up later and they were still on my head. The other night I crashed watching a movie and woke up with them kind of smooshed between me and the chair. They were fine though.
I'm not sure they would work well with a pillow but in my recliner they're OK. The cups don't push forward very much when my head is all the way back. They're not the most comfortable headphones in my opinion. It's their only shortcoming for me. I have since sent the DT990 Pros back but compared to the HE-400s... the 990s were like wearing a cloud haha... The HE-400s just sound too good to me to not keep and they are comfortable enough. Now that the 990s are gone, it's likely I'll get more used to how the HE-400s feel.