If you’re using a moisturiser that leaves an occlusive layer, and you apply a liberal amount of it, then it’s absolutely possible for your product to smear onto your pillow. It really depends on what you are using. How often you change your pillow case is really a case of personal preference. I would say at least weekly. But if you sweat a lot while you sleep, and you can see or feel your moisturiser sitting on your pillow, then you may want to do this more regularly.