In no particular order,
1. A humidifier is essential. Also, warm the water in your humidifier before filling it. This will prevent an icy cold blast of air as your start to use your cpap the first time. You will also need to figure out the best setting for your humidifier, one that is high enough to keep you from waking up with a dry barking cough and low enough to keep you from getting "rainout", which is water condensing inside your tube and mask and dripping onto your face or up your nose.
2. Get a heated hose, or at least a hose cover. I made one out of an old cut up terry cloth towel and it works just fine. This will greatly decrease or even eliminate hose condensation problems.
3. Lay down in your bed with your equipment and figure out the best way to string your hose up on your wall or head board. I have a series of "command hooks" on my wall above the bed so that my hose is right above my head. Others have used clips and even hair ties to get it just right. Also, your hose should be above your CPAP so if you do get any excess moisture it will drain back into the humidifier.
4. If possible, take a week or even two off work to make adjustments to the machine and your mask. Some people have no problems, but most report a lot of short or broken nights sleep while adjusting to CPAP. Also, you will need to allow at least a few days for each adjustment you make to see if it improves what you are hoping to improve. If possible, only make one change at a time to be sure you are changing the right thing. For example, if you change your pressure settings and your mask at the same time and your numbers go up, how can you know for sure which change caused it?
5. You will almost certainly have to try at least a couple of different masks, so be prepared. Some are large and bulky enough to cause people to become claustraphobic. Other masks are decent enough, but you might have the wrong size. You will also need to spend some time making what seem like infintesimal adjustments to the straps to get it adjusted just right. "Just right" is defined as tight enough for no leaks and loose enough to prevent sores and marks on your face.
6. Go to your local drugstore and get the following items so that you have them on hand in the middle of the night if you need them. Paper tape and moleskin for any sore spots that your mask causes on your face, Macks silicone ear plugs to use for additional sealer for your mask (this was a Godsend for me, it finally moved me from the "intolerable" to "tolerable" stage of Cpap) some hydrocortisone cream for sensitive skin and sore spots you may/will develop, a few gallons of distilled water, hand and dish soap without antibacterial or moisterizer added (Dawn or Ivory dish soap works, and I use Neutrogena to wash my face every night). Remember, absolutely NO petroleum products should touch your mask or be breathed into your lungs. I had no trouble at all with mouth breathing, but a LOT of people do. You can read about this in other posts and have what you need on hand. You should also clear out a drawer or two in your bathroom, kitchen and/or bedroom to store all this new stuff.
7. Many of the pros here have listed the need for a data capable machine, which I heartily second. You should at least be able to get a LCD readout of your nights pressure, leaks, AHI, AI and HI numbers. I have a diary that I enter this data into along with comments about how long I slept, how I slept, any problems I had, how I felt when I got up, if my sleep was broken , etc. This is very helpful, and very encouraging as you prgress with your therapy. Almost every night I have somethng to feel good about, whether it is low leaks, low AI, or just feeling good when I get up (still my favorite!). You also need to know how to make adjustments to the machine, but be sure to write down all of your original settings so that you can switch it back if the changes make things worse.
8. Finally, and probably most important, bookmark this site and look it over every single day. I am six weeks into this and still learning. There is a great deal of knowledge, insight, support and even good humor to be had here. Attitude is very important. Become determined to take control of your therapy and stick with it no matter what and you cannot help but get better.
This is by no means a comprehensive list, but it represents some of things I have dealt with in the last month and a half. I hope it helps. Sleep well!