I first started using my machine and nasal pillows on December 26 and haven't had any trouble since. In fact, my nostrils feel better than they did pre-cpap because of the heated humidity and air that passes through. In fact, my voice doesn't sound hoarse anymore, and I feel so much younger and well-rested. I've already dropped about 10 pounds since I started on my cpap machine, and I have so much energy, I feel 41 instead of 61.
Before my machine use, my nose was dry, irritated, and I sometimes bled. My mask fits perfectly and I look forward to using it every night. It sounds as though you don't have a good fit with your nasal pillows because it is possible to not have any problems with it.
Good luck, and happy sleeping.