Yes, you should use a CPAP even when you nap, especially if you are going to nap long enough to fall into REM or dream sleep, the stage of sleep when we have the most apnea/hyponea events.
Wonderful question, & yes yes yes do the CPAP thing w/ naps. Anytime I intentionally set out to sleep, I hook up on my CPAP. I'm not religious about it though. The reason I won't sleep w/o CPAP is that when I do I wake up w/ a headache. If it doesn't bother you to take a little nap w/o it, there are no CPAP police to come get you. The high road, though, is to wear it whenever you plan to go to SLEEP, because that's when we have obstructive SLEEP apnea.