I have sleep apnea and use a CPAP. It took quite a bit of time to get used to it. I went through 3 masks and now use nasal "pillows". The headgear and delivery system have to be the right fit for you. I would not try to sleep without it now. I sleep MUCH better than before.
When my DH was diagnosed with apnea, he tried my mask and geasr one night. He had trouble with the mask pulling on his facial hair, even though he shaved before going to bed. His sleep specialist suggested the nasal pillows. They are the right choice for both of us.