Believe me, you're not alone. The "expense" of having sleep apnea doesn't stop with the machine and mask.
I managed to train myself not to mouth breath, so never used tape, but it looks like it will help you.
I've also tried Cpap pillows. Like anything else, they work for some but not everyone.
I felt like I was laying my head on a cement slab.
Never used buckwheat pillows, but many swear by them.
What I find most comfortable are "down alternative" pillows. They are perfect for me.
I can pretty much mold it how I want and it doesn't change. Since I sleep on my side, I can tuck a corner of the pillow under my chin and that helps too. I'm sure you can find many threads on pillows.
Try the soft cervical collar and see how that works.