It is something that takes time to work out. Getting a good mask fit that does not leak, and is comfortable is probably the hardest part of CPAP therapy. And, for sure when you are first diagnosed using the equipment can raise a lot of anxiety. It certainly did with me. My first night using a CPAP was awful, and I was sure I would never get used to it. Now, 6 months later I hardly notice that I am using anything. I tried 5 different masks and have now come back to the first one I started with - ResMed AirFit P10 nasal pillow. I tried the AirFit F20 full face, Mirage Quattro full face, Mirage FX nasal, F&P Brevida nasal pillow, but in the end none were as good as the P10 for me. But each of us is different. Because I open my mouth in the night causing a large leak, I have resorted to wearing a chin strap (Breathewear Halo), and taping my mouth. It works very well. I wish I could get away with just taping my mouth, but I seem to need the chin strap as well. My wife started with the Mirage FX nasal, and is now using the F&P Brevida nasal pillow mask. It took a while but I finally convinced her to try the mouth taping trick, and that solved her mouth leaks without a chin strap. Mouth taping sounds awful, but it really isn't when you get used to it. I also think there are benefits to a nasal mask over a full face mask, as the full face mask encourages mouth breathing. Here is a video on using tape.
How to Mouth Tape for a Better Sleep
The other issue I have found with masks causing anxiety or a feeling of not getting enough air when trying to go to sleep is the starting pressure of the machine. Quite often a machine is set up for a new user with the start pressure set at 4 cm of pressure. That is very low, and so low that I kind of feel like I am suffocating for air, and that certainly causes anxiety. I have tried a few different start pressures, and have settled on 8.4 cm. To me that feels like I am wearing no mask at all. I get all the air I want without feeling it is too much. Each person will be different. However I suspect not many will really like 4 cm.
If you have a ResMed AirSense machine, I think they have the best setup for going to sleep. Instead of having a gradual ramp up of pressure they hold it at a constant pressure (8.4 in my case), and when it detects you are asleep then it ramps up to the set minimum pressure for treatment. The AirSense also has a setting that lets you use the EPR (Expiratory Pressure Relief) function only when it is in ramp mode (when you are awake). The EPR makes breathing feel much more comfortable when going to sleep, and then when you go to sleep it automatically turns off. Once you are asleep you won't notice.
Hope that helps some,