They have a limited supply on-board, but they do have them. More blankets than pillows, usually. The FAs tend to hand them out in FC first, then proceed to pass them out in coach. Sit near the front if you really want one.

I would suggest getting your own cheap fleece blanket and a $4 pillow from Target, though. It's an investment for the future, and you're always assured of extra warmth and padding on future flights.