Hey Catnapper,
Not to decry the previous poster's success, but don't let the fact that some people experience instant improvement make you feel that it's going to be a failure for you. Not sure if it will, but I know I've always feel a little bit discouraged when I see someone else suceeding without really trying.
So to add my "success story". I never had a real problem with daytime sleepiness but did snore and gasp for air at night. My wife was experiencing many a sleepless night because of my snoring and apnea.
So I do the sleep study and in the morning, the tech says "I'm not supposed to discuss the results with you directly but yeah, you've got apnea pretty good."
So I get the machine, get hooked up, and then spend the absolute worst night of my life on it. Very little sleep, and a whole lot of discomfort. I was quite the grouchy gruff the next day. But the next night was a little better. And after a week, I could pretty much sleep through the night with it. Then came the tweaks: fixing mouth leaks, getting the bungee cord support system for the hose, getting the heated hose, etc.
So now it's been over a year and I'm still not sure it's working.

Okay, let me tell you the good stuff...
1. I don't snore. (Wife no longer wants to kill me in my sleep)
2. No more acid reflux. (Something about the pressure keeps the acid down)
3. Very few or no migraines. (Who knew?)
4. Maybe a little more energy. (Can't really tell, it may have been really subtle)
5. My BP and weight are down. (Okay, maybe that's the serious weight loss and exercise I've done in the last year. But, who knows? Maybe I only have the energy to stick with that because of the CPAP therapy.)
So there yah go, I guess I'm a success story. To be honest, I don't love this machine. But I don't hate it either. I think it's doing me some good and I've got the bedtime sequence down to a science so that getting all hooked up is quick and just part of the routine.
I guess what I'm saying is just because you don't get immediate noticable results, don't get discouraged. A lot of us took months to realize that things are better than they were. If you can sleep through the night with it then keep it up. If you cannot sleep through the night, figure out what is wrong and try to fix it. (People here can really help you with problems.

) Monitor your progress and you may find that it really is helping you.
One of the challenges is that you can easily see the problems: nightime disturbances from mask, red marks on your face, rainout, drymouth, aerophagia, etc. But often the plusses aren't always so easy to see, even though they are there. Like most things, you will have good days and bad days. One thing I do know, is that severe apnea can kill you, and that's not something to ignore.
Stay the course, look at the long term benefits.