You always lay something (or someone, if that makes it easier for you to remember...)

You don't
"lay down on the bed"
but you do
"lay your head down on the pillow."

You do
"lie down on the bed"
but you don't
"lie your head down on the pillow."

 
You can also lie about your age or where you were last night but that use of the word isn't as confusing.