So I live up here... :) Take this with a grain of salt, but sometimes I think my breathing issues are compounded by my thoughts. If I find myself thinking about how thin the air is at 12,000' then it just plays on my mind. And seems to get worse.
First off altitude sickness should be taken seriously. If your doctor thinks you're OK, then what you could do is pop into an Urgent Care someplace at altitude and have them give you a thumbs up too. If anyone's going to know alot about it, it'll be the docs in Dillion or Silverthorne for example.
Instead of oxygen, you might try BreatheRite strips. Those nose bandaids that really open up your nose. I've found they also help me get over the mental barrier and I can relax.
Know that it takes alot of us 3-5 days to acclimate. Those of us on the older side of the hill are probably closer to 5. Five days for your body up ramp up red blood cell production.
Fluids help with the headaches but some folks just never seem to acclimate.
If nothing seems to help, then I'd discuss the use of a Portable Oxygen *Concentrator* with your doctor. My guess is that would be a much more reasonable first step.