The first problem is the dry air that occurs during the winter. This is true even if you have a humidifier in the house. Your humidifier is the best defense for this. Most humidifiers on CPAP machines have settings of 1 to 5 and are usually set to 1 or 2. The reason for the low setting is due to water accumulating in the tubing and mask. This problem can be reduced by making a sleeve for your tube. A nice piece of flannel and some seam glue is all you need. You want to turn it up high enough to make your airway comfortable.
One of the side effects of an overly dried airway is congestion. This is one of the easiest ways to tell if you need to increase the humidifier setting. If you are experiencing congestion you might also want to use a nasal saline spray before going to bed and then again when you wake up to help rehydrate your airway.
The other issue that really causes problems during the winter is colds and flu. Illnesses makes wearing your CPAP challenging. This is where owning two masks can come in handy. It helps to have a full face mask if you usually wear a nasal mask or nasal pillows. It is essential that you keep your mask, tubing and humidifier clean. Warm damp places are a great place for viruses and bacteria to grow. The best way to keep your equipment clean is to wash it with soap and water and then you can disinfect it with one part white vinegar and 3 parts water. Just soak them for 20 minutes then rinse very well so your equipment does not smell like salad dressing then allow your equipment to air dry.
If you try some of these ideas and they do not help you then go back to your doctor, sleep lab or DME company and ask for some help. Everyone wants you to succeed with your CPAP and they will be happy to help.