I chose 10 cm H2O, based on feel. I also set the C-Flex to 3, so that my mask wouldn't leak on every exhale. I did not have any distilled water, so I left the humidifier off.
Here are my first impressions:
Noise
The machine was quieter than I anticipated and didn't bother me at all. The mask was louder than I anticipated and bothered me a little.
C-Flex
The C-Flex exhalation relief really helped me cope this first night. Trying to exhale against pressure was a little disorienting, but it was actually the mask that made the C-Flex nice. The added system pressure of exhaling without C-Flex tended to mess with the cushion of my Ultra Mirage FFM. The only problem with the C-Flex is that I had to breathe slowly and deliberately, preferably with a pause before exhale. Otherwise the pressure felt "jumpy". I might turn it down to "2" tonight.
Side effects
1) The pressure bothered my ears a little. I have that "pressurized airplane" feel, where I feel like I need to chew some gum to get my ears to pop.
2) Definitely could use some humidification. I'm a mouthbreather, and always wake up with a dry mouth. But I usually keep a cup of water by my bed for sipping through the night, and that's a pain with the mask.
3) Being a mouthbreather with a FFM sort of disturbed me. My cheeks would inflate like a trumpet player's, and I'd keep sucking them in. Closing my mouth and breathing through my nose was a lot more comfortable, but my nasal airway is limited and quickly closed up when I tried to use it. I might have to get that septoplasty and turbinate reduction just to let me use a nasal mask.
Benefits
I didn't sleep all that great, but I also didn't deprive myself as oxygen anywhere near as bad.
Here's my O2 level, desats, and pulse without CPAP:

Here's last night with the CPAP:

Bottom line:
I desatted a LOT less with the CPAP, but I'm not sure how many times I entered REM and how long I stayed there. I feel like I didn't sleep very well, but I didn't suffocate near as much.
Tonight I'll try again, with some humidity. I have a feeling I'm going to need more pressure (like 12-15 range), and I'm not sure I can keep my FFM sealed that high. Oh well, baby steps.