Here's a simple way to remember what I wish I had known at the very beginning of my own Sleep Apnea treatment: my ABCD's of Sleep Apnea treatment. The hope is that you will not have to stumble over or run into as many obstacles as I did.
A is for Attitude
The key is that oft-repeated phrase: "whether you think you can, or you think you can't, either way you're right." Sleep Apnea treatment has much to do with attitude. What got me over the hump is realizing that even if it doesn't kill me as fast as cancer or a heart attack would, it slowly would undermine my body and accelerate my path to death, all the while eating away at my quality of life. It's also 100% treatable if the proper treatment is used. Given those two facts, I choose to get serious about treatment. It was as easy as that.
B is for Buying
Tough to hear, but yes, having Sleep Apnea means you will at one point or another have to shell out dough out of your own pocket. We Americans have an attitude that when it comes to maintaining our cars or our lawns, it's normal to pay something to keep these things in good order, but that when it comes to our own bodies and health, someone else, whether it be insurance companies or Medicare, has to foot the bill. Granted, we pay taxes and insurance premiums to cover this stuff, but the hard cold truth is that it won't foot the entire bill. We can agitate for better health care, but in the meantime, we need to take ownership over our lives and pay the difference between what insurance and Medicare will pay and what it will not.
Once we have this consumer mindset toward our own health, we gain more control and can be more proactive. Data capable machines are better to get than dumb black boxes. Auto-adjusting machines give you more options than "straight" machines. The latest mask on the market represents the latest technology in making these things comfortable to use, and will most likely be easier to use than the one that's in your closet not being used because it makes the bridge of your nose sore. You can get all this stuff online, if you're willing and able to fork over the cash.
C is for Collaboration
Getting well with Sleep Apnea is tough to do on your own. The reason is that there's a lot to know, and that there's no "one-size-fits-all" answer to how to make it all work. So you will need to rely on others. The doctor should be your primary collaborator, but for that to be the case you will need a rare type of doctor -- one who's not defensive about what he/she doesn't know, and who will treat someone like yourself (assuming you don't have a medical degree) with an ounce of respect and an open mind. Often doctors can learn a lot about this stuff from their patients, but it's a rare doctor indeed who will try.
Which is why you'll also need to research all you can online, and reach out through forums like this to others who have Sleep Apnea. Even though we don't have medical degrees, the kind of day-to-day stuff you need to know about Sleep Apnea can often be discovered by interacting with other regular people in similar circumstances.
D is for Documentation
Get a copy of your full sleep study and titration reports. Then ask your doctor for, and obtain, as open-ended a prescription for a PAP device and mask as possible -- doctors can write a script for, say, a "ResMed Mirage Micro Nasal Face Mask" (specific), or they can simply write a script for "a mask according to patient's comfort and choice" (open-ended). Make sure they write the latter. Armed with your full sleep report and open-ended prescriptions (which you should keep in a safe place, by the way), you'll give yourself the ability to double check on things and get advice from everyone in the world you trust, including the people on this forum. In other words, you'll give yourself options and control.