Oxygen isn't prescribed to help with your shortness of breath, although it may help. 02 is prescribed because you aren't able to get enough 02 into your system on room either at rest or with exertion, so your blood doesn't carry enough 02 to all parts of your body to keep everything working at top efficiency. When this happens, we say that your 02 saturation levels are too low. In order to measure the 02 saturation levels, you need an oximeter which can be purchased on line. There are medical-grade oximeters which are more expensive, but you can also get less expensive (and accurate) ones on-line or from Walmart or Walgreens. The point is, if you've been prescribed 02 for exercise or exertion, use it. The risk you run from not using it is brain damage and right heart failure as well as damage to other organs.

If you've been prescribed 02 for exertion, please use it and get started on an exercise program. Pulmonary rehab is one way to do it, but you can exercise on your own if you talk with your doc and know any limitations they might give you. Exercise, even gentle exercise, can help by strengthening muscles and adding to your stamina and endurance. Start slow and build your capacity as you get stronger. You can add continuously to the intensity of the exercise. As your heart and lungs get more efficient, you'll find that you can probably use less 02 for the same result.

You should take advice from your pulmonary team as to when to use ambulatory oxygen . Certain blood tests and monitoring are needed.
It may be that you can benefit from improving fitness, ie oxygen efficiency before going down that road.
Ask about pulmonary rehabilitation if you haven't done so already. Good luck
😊🍀