My DD (now 6 months) would only ever sleep on her front, from about 2 weeks old. Even if put down on her back when very deeply asleep she would always wake up within 5 mins, very upset. If propped on her side she would either wake up or wriggle onto her front. We eventually gave in and let her sleep on her front, which has always made me very anxious about SIDS.
However, the causes of SIDS are not well understood and sleeping position is only one of many known risk factors. We focused on minimising all other risk factors by having no loose bedding (use sleeping bags), using a firm clean mattress, making sure the room was well ventilated and the correct temp etc. I think the most important thing is having the cot close by your bed so that you are more likely to be aware of any problems.
It's also worth remembering that most parents (at least those over the age of about 20) would have been placed on their fronts as babies, as this was previously thought to be the safest position. In short, do be careful but don't feel guilty.