I think this is the way I am going to try.
-Do I need to get a water separator for my air compressor or is that what a "last chance" filter is?
-Should it be a gravity feed or siphon style?
. I painted cars and such for years using a simple can with a toilet paper roll for a filter cartridge and had great results. A water separator and filter should be a part of everyone's compressor set up, can't think of anything that requires air that benefits from have water run through it.
If relative humidity is low it shouldn't be an issue just using a last chance filter, about the size of a lemon and screws directly to gun. Keep the compressor tank cool(in shade) and drain regularly and you should be fine. Big projects and high humidity warrant other solutions to combat water condensing. Good thing is that your paint can go back in a can if it doesn't go well, in other words, it's not catalyzed. Gravity feed is much simpler, and easier to master than siphon cups. It would be my recommendation, also easier to clean.