Definitely see a doctor first. While a CPAP machine can do wonders, it really only works for those who stop breathing. If you don't stop breathing, it can actually do more harm to your sleep.
Especially if you know nothing about CPAP machines and your physician / pulmonologist select one for you and you get a Phillips one that turns out to rot from the inside and potentially send deadly material straight into your respiratory system.
I fully support CPAP use as recommended after a sleep study, but that was a poor investment by my insurance company.
edit: Though I guess if you get one without seeing your doctor first they won't be selecting one for you.
Yeahhhhh my wife was on the fence about getting a CPAP for years. Finally got one and it dramatically helped! Until suddenly she got sick. And stayed sick until she stopped using it. Turns out it was the model you described and little shitty foam bits are not good for your lungs. Needless to say, she has not used any CPAP since. It sucks because even she said it helped, but she's too scared of getting sick again to try a different kind.
After that happened, I purchased (out of pocket) one from Lofta and haven't had any trouble since. CPAPs themselves are a very helpful treatment and I genuinely recommend a good one (again, assuming a sleep study supports the need).
Lofta also offers an at home study. Not sponsored or anything (I wish!), just have benefited from their product.
They aren't that bad, if you have any insurance. Even medicare. The 20 percent we owe isn't that horrible, and after the...2 year rental period we'll just own it.
Do gotta use it like every night so medicare continues to pay its 80 percent though.