As I recall, the tube by your right elbow. Be sure you have to have oxygen loaded in the bottles, too.
Edit: I just flew the P-47, there is no tube, I must be thinking of a different aircraft. You have to put the mask on through the Shift+3 menu and then you'll hear a breathing sound effect and see the oxygen blinker animate on the instrument panel. The oxygen regulator is by your right knee.
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