L'hatlicha, we have to add a pillow on each mention and we don't remove/replace pillows. Chazal learn this from the other post-written-torah holiday; Hillel successfully argues on Shabbat 21 that for each night of Chanukah we add a light because we should always increase, not decrease. So, too, with the pillows. Beit Shammai says to remove pillows, but when do we ever listen to them?
B'dieved, if we only used one pillow for the whole reading, it is acceptable, just like with Chanukka lights. In both cases you need at least one for the entire duration of the mitzvah, in this case the reading of the megillah.
If using more than one pillow then, like Hanuka lights, they must appear uniform. Since they will be under your clothing, variations in color and fabric don't matter (no one will see); they just need to each add the same amount of bulk. There is a makhloket about whether they all need to be of the same dimensions or if they only need to have the same volume.
Finally, you should bring a ninth pillow to the megillah reading, so you have something comfortable to sit on. There are no specific halachic requirements for this shamash pillow.