I have noted a lot of discussions related to sinus problems and the use of a CPAP machine.  I have found that the daily use of a (salt based) sinus rinse helps greatly with the sinus problems I experienced while using my CPAP.  There are a number of commercial products out there and good results can be achieved using saline solutions mixed at home. (Google Sinus Rinse).

One Note: Do not use the rinse less than an hour before the CPAP.

Hope that is helpful.