I never considered such a machine but it comes to be more and more interesting as I read of evidences and personal stories. I'd prefer definitely to get a surgical intervention if it could resolve the problem. In fact as you say you can keep your mouth shut during night, I could be doing so as I keep it shut practically all day and I breath through one nostril and barely a half of the other one. In any case I suppose a sleep study and an eventual trial with a rented cpap may be a good way for learning.
I am pretty convinced of trying this as my sleep is terrible even tough I never associated this to sleep apnea.
It would be interesting to know how do you feel in some day after some extensive use of that machine! could you let us know about it?