[lrasinen]

My preferred method (Resmed Mirage FX) is to put the mask on, but without the hose connected. Then turn the machine on, wait until I can hear the air whooshing out of the hose and then clip the hose to the mask.

... but also as @elric has said, getting it set up properly is important. The first few weeks it felt restrictive, I complained and the hospital cranked up the initial pressure from 4 units to 6 units, and it's been great ever since.