Oxygen therapy helps compensate for some of the respiratory function lost by lung disease like Emphysema. In this case, excess carbon dioxide CO2 builds up and prevents an adequate level of Oxygen to adsorb and circulate in the blood. "Breathing" (and circulation) is what keeps this balancing process going on at all times.
For example, Oxygen is available in high concentration in Water. Staying hydrated helps much in offsetting the bad effects of CO2 in the blood. But drinking water is not "breathing". Our skin is second best to the lungs for bringing Oxygen into the body. But again, that is not breathing either.
Many find short activities, like stretching and light lifting which use the chest muscles to be good exercises sufficient to aid in improving oxygen intakes during the Breathing cycles. Be mindful, oxygen therapy is a medicinal treatment. If your Doc prescribes it for your use you must adhere to the prescription and report any differences back to your medical team. Be well.
It may, but that's not the reason it's prescribed. The primary reason 02 is prescribed is to ensure that your body has all the 02 required for everything to work as designed. When you're short of breath, the brain sends the 02 available to the places where it's most needed: heart, brain, etc. That means other organs may be doing without necessary 02. The supplemental 02 ensures that all parts of the body get what they need to function properly. So if additional 02 doesn't seem to help with being short of breath, more 02 won't help.
The key for every 02 user is a good oximeter. If your sats are below 88-90, you doc should tell you to increase the 02 until your sats reach some agreed upon number. If your sats are good, and you're still short of breath, more 02 is a waste and won't do any good. The fix is to slow or stop what you're doing until you're comfortable again. You also can continue to do whatever you're doing for as long as you can and as long as your 02 sats are good, you won't do yourself any harm. You may be really uncomfortable, but you won't do any damage or hurt yourself.