Air Pillows act as an ice compensator during initial freeze of your pool water. Since water takes the path of least resistance when freezing, the air pillow floating in the center of your pool, causes the water to freeze from the outside in. Therefore, minimizing your risk of ice damaging your pool liner or extra stress on your pool wall from ice expansion.
The Great Escape recommends filling the air pillow 3/4 full to minimize the chances of it bursting when the ice freezes around it putting pressure on it. 2 pillows are recommended for round pools 27' and larger and ovals 15'x30' and larger.