Do you tell hime "no!" when he does this? Have you thought of keeping pillows out of reach when not in use, so he has to retreive something else? Simply stuffing them in a closet and shutting the door would do the trick for bed pillows, at least. Does he have other toys that he could be diverted from the pillow with?

Oh, yes - how old is he? Has he been doing this long?

And most importantly, welcome to Pet Talk! There are lots of Golden Retreiver fans here, you'll be in good comapny!