I have used a cpap machine for a few years. Takes a bit of getting used to but after a while it just becomes common practice and does make you sleep better.
Bit of a nuisance when you go on holiday as lots of hotels don't have a power point beside the bed so you have to take an extension lead with you just in case. I have been caught out like that once!
Do you drive? If so then you must use it. Sleep apnoea is a notifiable condition to DVLA and if you are not getting treatment for it, i.e. using a cpap machine then you will get your licence revoked. Your consultant should have told you this as he will notify DVLA if you don't.
Hope that helps.