Be persistent if it doesn't work as you expect it to in the beginning. Keep up with your Dr.'s appts and help your Dr. find the best solution for you. I tend to make do and this is not good when it comes to apnea.
The machines have really improved over the last five years. I love my new one with the humidifier built right in. A post earlier this summer on this board convinced me to go back to see my Dr. We are working on making adjustments to improve things. I did switch to a different style mask and really prefer it.
Good luck and stick with it. (The alternative of not doing anything is really scary medically speaking).