I've done both. Both stuffed it myself, and bought the pre-stuffed pillow shapes from the fabric store. Both turn out fine with no lumpyness even after 10+ years of use on a couch. Another question to ask is this going to be a purely decorative pillow that gets set to the side anytime you want to use the chair? Or is it going to be functional and used as lumbar support when you use the chair? If it is functional I would go for either a smallish rectantular pillow, or a bolster shape (tube shaped).
Another question to ask yourself that goes along with the pre-stuffed or stuffed yourself is, do you want to be able to wash the pillow? With the pre-stuffed ones, if you sew the case with a zipper or buttons, you can take just the case off and wash it. If you want to hand sew the case closed, then you probably want a synthetic stuffing because it won't get as lumpy as cotton or wool when it is washed.