Gbink
What type of CPAP did you get? I have a REMStar at present and that one (plus one I had in the past both) had a ramp button. When you press that button, rather than just turning on your full pressure, it gradually turns the pressure up until you reach the presribed pressure. You might check to see if your unit has that function. Also available are AutoPAPs which change the pressure according to what you may be needing at the time and BiPAPs that have 2 set pressures. Almost all of the ones that I have seen recently have data cards in them as well so the doc can see what is happening every night - if you don't already, make a follow up appointment so the doc can look at your info to check if the pressure is correct for you.
I know how you are feeling for sure - I had been so sleep-deprived for so long that I had been having panic attacks (and couldn't eat much except oatmeal/cereal type food) for six months or so prior to the "discovery" that I needed to get to a sleep doc. I did ok the first time they put a mask on me at my first titration, they slowly ramped the pressure up ... but they woke me up in the middle so I could switch positions to lying on my back and resumed at full pressure. I fought and choked and basically freaked until they started threatening a repeat test. :) I think they gave me a really light sedative and all was well. Had I known more about it then, I could have asked them to ramp up again, but I didn't know anything except for I couldn't breathe with it on.
You do get used to it and if the machine works for you it'll be harder to sleep without it than with it. My doc was happy to have me wear it for as long as I felt comfortable and try to just lengthen the time each night as you can maybe you could try that. As soon as I got a few good nights of sleep I got used to it quickly. Another thought is that maybe the doc should turn your pressure down a bit in the beginning and then have it adjusted back up.
Hope this is helpful -
Gbink
Also, check out www.sleepnet.com - this site helped me immensely when I got my first machine.