In support of Jack Campin the glass of water / straw method is the usual manner.
The trick is to stop up the back of your Oropharynx with your tongue and then breathe in through the nose and push air out through the straw at the same time and then relax your tongue so you can then use up the air you've just sucked into your lungs.

The best straws to use are the really wide ones from McDonalds - I hate Maccas as a "food" but my kids love it - so whenever I'm there I pincha handful of straws for practice. One of these days I'll get up the courage to actually try it on the Didge!

BTW - the correct spelling is Didjeridu - - - - NOT Didgeridoo; the latter is the Anglicisation of the correct spelling.

Another method you can employ to learn circular breathing is to visit your local swimming pool (a beach, dam or river (creek) would work, I suppose).
Just submerge your face so your nostrils are JUST above the water. Then breathe out through your mouth while "blowing a continuous raspberry" (that is, through 'fluttering lips') while doing this, try the tongue-block breathe in through the nose and squeeze air out with the cheeks as described above to keep the air flow continuous and roughly equal.

Finally, if you are going to get a Didge, DO NOT go into a souvenir shop and just buy one that LOOKS good.
First check that the opening will accommodate your mouth.
Then, drop a 10-cent piece into the mouthpiece (that's the end with the wax on it)- or if you're in England, a pound or 20p coin - in the US a quarter would do while in Canada, a 'Loonie' would be best.
If the coin falls all the way through without a hitch - the 'lumen' is probably too wide for a beginner - you need a certain amount of 'resistance' or 'back pressure' when learning. Really wide lumen didge's are for more experienced players and sound incredible.

Also DO NOT buy one made of bamboo - they are commercialised CRAP Remember: Bamboo is NOT native to Australia. A proper Didge should be a hollow tree-branch - eucalypt and it SHOULD be a eucalypt native to Northern Australia - and the branch should have been NATURALLY hollowed by white-ants (believe it or not, the Didjeridu only became known in southern / south-eastern Australia less than 5 -10,000 years ago and were always traded (just like the returning boomerang: Southern Aboriginals only learned of them as souvenirs brought back from northern Australia by White Men!!!!!)

Finally - your didge does NOT need to be 'painted'. That's a tourist thing - though I've seen Aboriginal buskers use very simply painted ones in tourist locations when busking. The general rule of thumb is that a really garishly or complicated painted didge is (not necessarily fake) but possibly NOT the 'real thing' ie artificially hollowed.

Mine is from Alice Springs, about 4-5 feet long, unpainted and bought from an Aboriginal crafts store while we were there. It was about $100 - 150 at the time and even the well-painted ones were about $240 - 280 max. Three doors away in a 'Souvenir Shop' "Handpainted Didgeridu's" were going for about twice the latter amount and most didn't come with a certificate of authenticity.

However, as to the choice between the sound of a didjeridu and experiencing sleep apnoea - the former is the better choice. A didge is a VERY soothing sound when played - even learning the thing produces relaxing sounds; I mean it's hardly the bagpipes! (Mind you - I LOVE the sound of the pipes too!)

Herendeth the lesson

Muttley