On my sand, typically with one arm under the pillows (plural, because always 2), but not always. It's the most comfortable for me.
As for the mattress, I can literally sleep on any surface. I've slept on floors, I've slept in hotel beds, I've slept on memory foam, I've slept on normal mattresses. As long as the surface isn't moving, I'll sleep on it! As for preference, though, I like a sort of in between firm and soft.