I usually just feel a whole lot better when I go to the gym. I try to jog/walk 35 minutes and weight training (about 4 exercises a time) about 3-4 times per week... basically every other day as I like to give my body a rest in between.
I started using O2 a couple years ago and was very self-concious about using it at the gym (Gold's Gym so lots of big-bodied people...LOL) but then one day I just decided I wanted to be better to my heart and lungs and use it and didn't want to NOT jog because of it, so now I just hang it on my treadmill and do my cardio. I never skip cardio, though I've been known to skip weights if I'm tired.
I believe this is the main thing that has kept my FEV1 in relatively the same spot (give or take) for the past 7+ years. And it truly makes me feel amazing...
Even on days I feel like crap, I walk or do something. Like most said, it doesn't have to be much, but if you start small, even with O2, you WILL be able to work up to where you want to be.
I really liked the video Jerry did above and it really motivated me back when I first got my O2... I recommend you watch the link. That is basically the portable O2 I have though I'm kinda a wuss and it hurts me to run with it on my back so I "modify" and run on the treadmill with it so I can hang it.
Kudos to you for wanting to get moving!