You are telling yourself the right thing and it can take a few weeks for the mattress to break in and for your body to get used to a different sleeping surface that is different from the one you are used to (see post #3 here).
Using a pillow under your knees (in the way you are using it) can also help to decompress the spine and improve alignment for back sleepers (see post #45 here). The pillow under the knees doesn’t need to be “thin” and a thicker pillow will raise the knees a little more and would also be fine (and may even work better). It’s not necessary to use a pillow under your feet.