Have used a CPAP machine for years. The new machines record the results of your most recent 30 nights, and your doctor can upload those results in his office. Basically, the machine records a sleep study every night you use it. A regular sleep study overnight in a lab is tough, because you are in a strange place and wired up to the hilt. But, such an overnight sleep study is needed to determine what air pressure to set on the CPAP machine. So one needs to have an overnight sleep study, no way around it. It's also needed just to determine what degree, or severity, of sleep apnea is involved.
Pillows, as
@fishonjazz described, are the least obtrusive mask, but, if you open your mouth at night, it "breaks the circuit" figuratively speaking, interrupts the air flow in other words, and the sleep apnea is not controlled. You can try to control opening your mouth using a chin strap with the pillows system, but I still opened my mouth even with a chin strap.
Solution for me finally came by using a full face mask, covering both nose and mouth, with a memory foam insert. Memory foam prevents leakage, which previous full face masks always produced. Leaks mean apnea not controlled.
Full face mask is not comfortable, but none of the mask types I used ever prevented me from falling asleep. But some might not tolerate a full face mask. I tolerate it, I simply have no choice. Uncontrolled sleep apnea will lay waste to a person.
The surgery
@LogGrad98 described is not appropriate for everyone. Your sleep doctor can make that determination.