Obstructive Sleep Apnea is a potentially life threatening condition that should not be taken lightly. You should be diagnosed with Sleep Apnea by a physician, not a dentist. For a proper diagnosis you should undergo a sleep study under the direction of a pulmonologist or other physician that has limited his practice to sleep apnea, if they decide that you need a CPAP machine you should get one and use it. They may mention other lifestyle changes that can be helpful as well.
Dental devices for sleep apnea help in a very small percentage of cases and have concerning side effects such as occlusal changes and TMD arthralgia. In other words, they can change your bite and can harm your TMJ. I would only consider one of these after a recommendation from the physician performing your sleep study and I would still be concerned about potential harm to the TMJ. If you use a dental device you should have a follow up sleep study to evaluate and gauge its effectiveness. The gold standard for treating sleep apnea remains the CPAP machine.