I had severe sleep apnea. Went untreated for far to long. I actually had a CPAP for three years before I started using it regularly. I feel it was a huge contributing factor to my heart failure. (The correlation twixt sleep apnea and heart failure is astounding).
I use a bi pap every night. Could not imagine sleeping without it. Like anything it takes time. Getting the correct mask is key. They have incredible varieties and I have about six of them. At the end of the day I am a mouth breather so I use a full mask. I can use the nose masks with a chin strap but it is just not comfortable to me.
Many on here have said they had it but it lessened with weight loss. That is common. I have an "auto titrating" machine that basically adjusts to my needs so it adjusts pressure on the fly which is more comfortable than a constant high pressure. Also the bipap is useful because it reduces the exhaling pressure so you do not feel like you are "blowing up balloons". The auto machines typically mimic bipap but only by small amount, but it is helpful.
Another advantatge of the auto machines is typically you can access the clinical menus, play with settings, download data on your own etc. using Sleephead software from the interweb.
The mouthpieces help some, not all, and can have some adverse effects on the jaw muscles over time. (I have a mouthpiece as well but do not use it).
If you have apnea it is most likely the largest health problem you have. Get it checked. Do not ignore like I did. Lookup heart failure survival times if you need convincing.