Baby likes to sleep with her head cocked to one side. Sometimes it is left, sometimes it is right. Is this normal?

Yes, it is normal. Don't worry! My newborn was like that too. It's kind of hard to sleep facing upwards all the time. It seems like she is a bit too tightly swaddled. It may just be the photo though. Also consider getting a mesh bumper which is breathable for the sides of your cot to protect your baby when she gets older.