I did, and the CPAP helped a lot. Eventually I figured out that simply sleeping reclined (on a triagle pillow) actually gave me 90% of the benefits with 0% of the hassle of the mask though.
I don't think it's good advice to self-diagnose, buy used equipment, and hope you get it right. CPAP quality degrades over time, for one. Some people might benefit from a CPAP, but really need a more complex and expensive machine like a BiPAP. Some people have central sleep apnea rather than obstructive sleep apnea. Some people would be better off with surgery or implanted devices. These are not things one should be figuring out on one's own.
If none of that is convincing, in the US it's illegal to sell a CPAP to someone without a prescription. I honestly don't care about that part, and if I knew how to order a new CPAP directly (perhaps from Canada or something), I would personally do it and skip the doctors entirely, but I don't think it's good advice, especially before you're properly diagnosed.
Like that means anything. I've bought a DSX900 ASV machine from the US, no problem. I've been self-treating UARS for 4 years now. None of the "sleep doctors" I've talked to even understand the thing, I had to do everything myself.