Valiegal,
I am sorry to welcome you to the world of sleep apnea. You will wish you weren't here but I promise you it's better to know and work to solve the problem. Yes, sleeping with a mask on is uncomfortable. Yes, getting the right machine/mask combo for you takes a while, the strengh of hercules and the patients of Job. Is it worth it. YES!!!! The most important advice I can give you is to read and learn from those who went before you. I highly recommend the Sleep Apnea Forum at http://www.talkaboutsleep.com . Read back MONTHS into the posts. If you do this you will be forearmed with more and better knowledge than most doctors and almost all sleep techs. Bypass the sleep tech and go back to your doctor (after your reading) and ASK for the perscription for the specific machine/mask you want. Be prepared to justify your request (again- the reading) and you will get your perscription. Which is all the insurance company wants/needs to pay the claim. No need to even discuss the sleep study with the insurance company.
Just my opinion but I would do this before you go for the mouth appliance. You may find it unnessary.
Good Luck...