I had the worst time learning to deal with it at all. I hate to say that it took me a few months but I kept pulling it off and not putting it back on. Finally I found that 1 little melatonin and my ipod did the trick (audio books). I still use my ipod because then I don't concentrate on the breathing in and out. I am seriously claustrophobic and that is my biggest problem. I too started with the pillows because I felt claustrophobic but I ended up in a full face. I would have bet a million dollars that I would never wear a full face but now that I'm actually sleeping I'm OK with it.
Don't give up! Keep trying different masks until you find one and don't discount on just because of the claustrophobia. You will feel better soon!