Before I can fully answer your question, you need to understand that soft vowels such as я, е, ё, юproduce the same sound as the corresponding hard vowels а, э, о, у. Their sounds are [a], [e], [o], [u]. The sounds of the vowels ы and и are also similar but not as much as the other four. In writing, the vowels are only different to indicate that the preceding consonant is soft (palatalized).
Now, to actually answer your question. The pronunciation of the Russian soft consonants is the same in any position. The sounds of the soft н, п or в are marked as [n'], [p'] and [v'] respectively. Look at the following examples:
нюанс [n'uáns] nuance
небо [n'ebə] sky
нёбо [n'obə] palate
The situation with an additional slight 'y' sound is different. The 'y' sound is added before soft vowelsя, е, ё, ю (not including и) when they occur in one of the following positions:
after the soft sign ь (as you mentioned in your question)
after the hard sign ъ
after another vowel and in place of й
in word-initial positions
Note that the soft consonant sound is the same but it's followed by an additional 'y' sound because that sound is added before the vowel!
Нью-Йорк [n'ju jork] (j-sounds are because of the soft sign and letter й; [n'] is soft)
пьяный [p'janij] (j-sound because of the soft sign; [p'] is soft)
ёж [josh] (j-sound because the vowel is in the beginning of the word)
моя [mɐja] (j-sound because of the vowel o in front of я)