WebMD: An obstructive sleep apnea patient describes their experience with an in-lab sleep study. I also wore a finger monitor throughout the night to measure my oxygen levels. In some instances, you may go to a medical center for a sleep study, but you can usually do it at home with a test kit your doctor prescribes. Talk to your doctor to determine the best way to do your sleep study. One thing that helped me was wearing the device for a little bit before I turned it on.