If you do create your own setup, you will need to purchase a regulator appropriate for the tank you are using. Different tank types use different regulators due to tank pressures. 0-25 lpm regulators for E tanks are readily available online. In addition to this, you will need to purchase a mask and oxygen hose (clear tubing).
If you are not currently under medical care, it is feasible to get oxygen directly from a reputable oxygen supplier. Welding oxygen is also pure and typically comes from the same source as medical oxygen. The key difference between medical and non-medical oxygen relates more to the chain of custody of the oxygen tank (cylinder) and requirements regarding purging the tank prior to filling. You can always ask your oxygen supplier to purge your tanks before filling.
Setting up your tank properly is important to avoid any errant spillage of oxygen. The simple solution is checking your setup before opening the valve to make sure all hose connections are tight and that your regulator is firmly attached to the cylinder. Then open the tank valve slowly and set the regulator at a low flow setting, ie. 5 lpm. Listen and feel for any leaks around the regulator and hose connections. If you hear oxygen leaking anywhere but at the mask itself, close the tank valve and correct it. When using oxygen, take extra care not to allow the oxygen to flow freely for any extended period. Always turn oxygen off at the tank valve, not with the regulator.
High-flow oxygen was proven to relieve cluster headache attacks within 15 minutes for nearly 80% of attacks with no serious side effects in a controlled clinical study (see the JAMA High-flow Oxygen Study). In fact, oxygen is considered to be the safest method of treating acute cluster headache attacks. The approach is to use 100% pure oxygen at a flow rate of 12-15 lpm, sometimes higher, through a non-rebreather mask for approximately 15 minutes or until the attack is stopped. Although that sounds pretty straightforward, learning how to use high-flow oxygen for quick relief takes some know how and practice. On this page, we describe how to get it, how to use it, and how to be safe with oxygen in the home.