This is normal behavior. It's their way of showing 'dominance' over something. In their little worlds there isn't much they CAN dominate, so I've never seen the harm in lettling them be the boss of pillows, stuffed animals, etc. Besides, I think it's cute!
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He is your friend, your partner, your defender, your dog. You are his life, his love, his leader. He will be yours, faithful and true, to the last beat of his heart. You owe it to him to be worthy of such devotion. -- Author Unknown