That is about the worst thing you can do, actually.
In the first place you're not supposed to have the computer on your lap. Its in the user manual.
Secondly, you're not supposed to rest the laptop on a soft surface because it restricts airflow under the computer, causing heat. The little rubber feet are there to provide a few mm of space for air to flow underneath. Its in the user manual.
Honestly people, read the manual. If anyone burns their legs or fries their computer its user error, not Apple's fault.
A hard surface such as a desk (or cutting board as i have heard) works well, as well as products like the iLap or iCoolPad.
Unlike most portables that have the fans ports on the bottom, the fans on the MBP move air from the top and back spine of the computer. This means that resting it on a pillow or blanket will not have as much an effect on the MBP as it would other computers. This doesn't mean that you SHOULD use the computer in this mannor. If you feel the computer becoming too hot while in use on these surfaces, you should move it to a flat hard surface to allow it to cool.
You have to realize that Apple puts many of these "warnings" in the manual, not because the computer is incapable (of being used on a lap for example), but incase someone were to injure themselves, they would be unable to bring a lawsuit against Apple.