i have, you need to ask them to prescribe you some 10 mg Ambien for the sleep study. which should not be a problem. and it works very well, just don't eat right before your sleep study. and take it 10 minutes before you go to sleep.
they will put some sort of sticky goo all over you with patches and wirings, it is irritating.
they probably will outfit you with a nose mask during the study(as opposed to a full face that covers the nose and mouth). because they use that to adjust the pressure on the fly to see what's the perfect pressure for you. the machine will probably have a warm water chamber so it doesn't irritate your nose with cold dry air.
FOR me, a week or two AFTER the study, they gave me a prescription for a CPAP machine (REMaster PRO) and a nose mask at first (it comes with a smart card that takes your reading every session), but I discovered that the pressure was not enough, so In the middle of the night when my nosal passage blocks up, my body would normally open my mouth to breath in more air, but since there is a pressurized mask over my nose, it would cause massive air flow thru my mouth and wakes me up. 1/2 of the time after that i would remove the mask unknowingly and go back to sleep.
I recently got a full face nose/mouth mask and it is working well.
the cpap machine is usually pre-programmed so you can't change any settings. but there are online guides that can let you go into programming mode (just in case).
oh yeah, CPAP machine is the ones where the pressure gradually increased from low to your final settings so that your nose gradually adjust to the increasing pressure.
i think that covers about it all.....
edit: oh i remember, i got a 'full' study, where you first sleep WITHOUT the mask, they take all the readings and then in the middle of the night, if they decide that you probably need a mask, they'll give you a mask and take more readings and adjusting.