You wont screw anything up! Just listen to your body and do what is comfortable.
But, for the textbooks:
Sleeping on your back- as your uterus gets bigger and heavier over the course of the pregnancy, laying on your back can cause problems. When laying on your back the weight can compress the aorta and vena cava (causing circulation related problems, like low blood pressure/dizziness/shortness of breath) and also press on the intestines (leading to or making worse things like indegestion & hemorrhoids). It can also cause or worsen backache since the extra weight can push the muscles into slightly odd positions.
But if you're comforotable on your back then it's not a problem for you! If you're uncomfortable you'll roll over, or wake up, or wake feeling funky in the morning...so just pay close attention to how you feel and experiment to find the "right" position(s) for you. I know I often wake on my back and I just roll over and add a few pillows for more support/comfort.
Also, in terms of yoga poses and some other exercises...you'll find most books/videos/instructors will tell you to pay attention to how you feel and if you get dizzy or short of breath in a position then either alter it or avoid it. And even the most committed yogini is probably not holding an inversion for 20-30 minutes in her third trimester! And it's the prolonged "on the back" position that can cause the real problems.
Sleeping on the left side (instead of the right): because of how the body is "plumbed" things tend to circulate better and drain more easily when you're on your left side instead of your right side. It's not a huge deal, just making things a tiny bit easier for your body systems by using gravity to your advantage.
So that's the "mechanics" of the sleep advice...but unlike the dress/hair style disasters that are so common at the first prom...you're not going to screw anything up by making yourself comfy!