All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger.
There is no doubt that when a husband has sexual intercourse with his wife, he fulfils his desires, and the Prophet said: "The best solution for those who love each other is to marry." [Ibn Maajah] Moreover, the scholars stated that the best cure for lovesickness is marriage. Therefore, the best solution for you in order to get rid of your feelings is to take the initiative to marry. If you are unable to marry –as you mentioned in the question – then you should fast as much as possible and preoccupy yourself with what is beneficial for you in this worldly life and the Hereafter, because if one does not preoccupy himself with the truth, he will be preoccupied with falsehood. Besides, you should avoid thinking about your fiancée and hugging pillows because this is of no benefit for you; rather, if you do so, the devil may drug you to what is forbidden, like masturbation or what is even worse than this.
For more benefit, please refer to Fatwa 83481.
Allaah Knows best.