Listen to your doctor...
My oxygon levels go so low when I sleep that it is critical that I use my machine. The first time I had a surgery even with oxygon, my levels were 76 when I went to sleep--not a good sign. The nurse kept waking me up and I told her to leave me alone, so she told the doctor I needed to go immediately for a sleep study. During my sleep study my numbers were in the upper 50's--very dangerous. If I fall asleep even for a short nap without my machine, I will have the headache that is miserable, so I am very careful. I never seem to be normal with most things, and my Apnea is different also. I am in REM sleep all but about a half hour each night.
I had no problem adjusting to my machine at all, but they told me I could die at any time without it. That kind of makes it easier to use.