Sleep studies suck, big time. I don't know why they call them "sleep" studies, because I got virtually none when I had mine done.
You will have a consultation appointment with the doc first to go over everything, then the sleep study, then a follow up appointment. Expect to arrive late evening to get "settled in" to your area the night of the study. They will go over the process, room setup, show you where the head is, etc. After all that is said and done, they will start to wire you up. You will have a whole bunch of sensors stuck onto your head, chest and arms. Sensors measure vital signs as well as electrical activity in the brain. They use the little sticky pads for the electrodes/leads to attach to. By the time you lay down, you will have 20 -30 wires dangling from various parts of your upper body. It is very uncomfortable, and I found it very difficult to sleep since I toss and turn a bit before going to bed anyways. I think I was 2 or 3 Lunesta's into the thing before I got at least some sleep where they could get data samples from. When I saw the doctor after the sleep study his first words were "I'm sorry". The room will be blacked out like you sleep at home, and they have infrared cameras to observe you while you sleep.
Generally, for your first study, they just want a baseline. You should not be wearing a mask or anything. The study is designed to see if you need some sort of sleep therapy or not. If they do decide you need sleep therapy, you will be prescribed some sort of appliance (oral appliance or CPAP machine) and then they normally will do a second study to verify it is working correctly. I was initially given a CPAP and just could not sleep with the thing. Now I have an oral appliance that works awesome. It basically is a mouth guard for your top and bottom teeth with rubber bands connecting the top and bottom. The rubber bands hold your lower jaw forward (or up when laying down) maintaining your airway. It's not intrusive like a CPAP, which requires you to wear a mask and literally forces air into your airway when it detects a pressure build up from a closed airway. I have a few friends that have CPAPs though and love them, so to each their own I guess. Good luck.