I have permission from my pulmonologist to turn my o2 up to 3 or 4 when walking, exerting etc.. I would not do this on my own without clearing from my doctor first though.
If I really feel I need to I will. Otherwise, I just go slower, relax, breathe slower, exhale longer (like when blowing out the candles), take time to read things a long the path this helps me to stop and catch my breath before moving forward. Hope this helps. Take care and breathe easy.