How does the OP know what setting to put the air pressure on? He doesn't. I have sleep apnea, and it is not something to take for granted and try and guess what to do with the machine. It is no big deal to get a sleep study done. Just bring your own pillow, let them hook you all up, and they will have your results the next morning. I have mild apnea, but it is still a health concern. Ive been using the CPAP for over 10 years, and I still am not used to wearing it. My wife says I take it off in the middle of the night sometimes and not even know it till I wake up. It is pretty scary waking up in the middle of night, not being able to breathe or catch your breath till your throat relaxes back to normal. So I wear it religiously. I can't even take a nap on the couch, because my tongue falls back in my throat, jaw shifts, cutting off my oxygen.
I didn't even know you could buy a cpap machine without a script. But I guess they are on Ebay, but again, I would opt for the sleep study and get diagnosed correctly.