You should receive many replies to your issue as this seems to be the major problem for many --- and ongoing!
I can't use the nasal mask -- won't stay in place (mask or the headgear).
I use the full-face mask (F20 and the Vitera - two different brands) -- both very good but if you don't have a good headgear, or one that fits appropriately, you'll have issues. May NOT be the MASK -- the ones with soft silicone or foam work better for me because they 'mold' to the areas around my face (and not everyone's face is the same, of course).
My DME adjusted my headgear several times (then several times more) -- and if I'm lying on my back, not moving, it's fine. Turn over a time or two and the headgear moves and I have air leaks. So I tighten my headgear -- sometimes to the point it's like glued to my face (and it doesn't have to be; just takes a lot of adjustments and trial and error)!
So all that said, if you have a good mask and you like the fit ....
work with the headgear -- there are all kinds of 'tips' but you may still have to tighten the top area or the bottom, around the chin. It's ALL in the headgear -- or that's my take on it.
It's been frustrating for me too and the last time I went into the local DME office, I apologized and was told "the most complaints are the fit" and many CPAP wearers return frequently -- it's hard to make it work for everyone.
One last thing: you'll get the fit just right and after a period of time, the headgear stretches somewhat -- throws you off totally. So, they don't last forever either. Once you are fit with the proper size (and yes, there's a difference in small and medium) -- have an extra. After a while when you get leaks, change it out. Then wash the one you were using -- let it dry and it may snug up a little bit.
I was about to give up but really like the CPAP and the humidity -- helps me breathe so much easier and I'm not as tired every morning. The last few weeks have been so good -- but when I start getting leaks on a nightly basis, I know I need to change out the headgear.
NO -- another 'last thing' - well, two ---- if you are a mouth breather and have issues, TAPE your mouth -- it works (prevents that DRY mouth) and if the mask rubs the top of your nasal area and you have a red nose every morning, put a band-aid on your nose -- it works too (I tried the gel pads but they wouldn't stay in place and a box of band-aids are cheap -- the padded ones are better for me; being female, better than layers of concealer).
Good luck ..... ONE fit is NOT the same for every person; the adjustments are still up to me while wearing it every night.