OK folks, something I learned about those horseshoe-shaped pillows: they don't go around your neck. They're basically useless like that.
First up: make sure you get one that joins up at the open end - some sort of clip fastener to hold the ends together.
Then: it goes around the back of your head with the bottom of the horseshoe behind your neck and the open end clipped together but pointing up. If you're doing it right, that sucker will fit very snugly over the back of your head to the point that it'll stay stuck on when you move your head away from the headrest.
Doing this will mean that your head is held in place vertically and horizontally.
Note: I lost the pillow I had that joined together with a clip and bought another that didn't but was made of "memory foam" and it worked just as well.