When during pregnancy should i change my sleep position?

Yes: In a perfect world, pregnant women should sleep on their left sides. This allow the uterus and baby to roll off the blood vessels and allow greater blood return to the heart and subsequently to the baby. In most people, without severe anemia, it doesn't make as much difference if you sleep on your right, left or even back. I do tell back sleepers to try to lay on a pillow under one hip.

Second trimester: Normally the uterus isn't very big in the first trimester. Towards half way in the pregnancy, it becomes hard to sleep on your back because the belly is getting big and heavy. There is no magic rule, but many women are more comfortable at the end if the second trimester sleeping on their side. But there is also no requirement to sleep any differently either. Just sleep how it's comfortable.