I did this - after finding out what a sleep study and a new machine would cost, I just picked up a set from Craigslist, and the difference is like night and day. Described the symptoms to a psychologist and was basically told that yeah, it’s sleep apnea, but they can’t write the prescription until the study is done.

The only annoying bit is replacing the masks and headgear - they’re considered prescription medical devices, so you have to exploit a loophole in that they are only covered under the RX requirement when purchased as a set. So, I have to buy a mask on one order, and the headgear on another.

It’s a pain in the ass and I’m more than a little bit peeved that I have to beg for permission for this quality of life improvement.