Don it sounds, from your description, like you have a faulty pressure regulator. A regulator is like an adjustable obstruction in the line. Often, it looks like a one way valve with a spring behind it. Turning the adjustment knob compresses the spring and increasing the threshold pressure required to lift the seal on the obstruction. I'm guessing but I would say that you have a ruptured diaphragm or misaligned seal allowing the air to escape with little or no resistance no matter where you position the regulator knob. If it were working right, when you set the regulator at, say 15 psi, the trigger on the gun would only release 15 psi and the regulator gauge would remain steady at 15 psi. The tank gauge will drop slowly and when it gets low the compressor will kick on at a preset pressure to refill the tank. I have my compressor set to kick on at 80psi and stop at 160.

Like Campy posted earlier, you can retrofit an in-line regulator pretty cheap without buying a new compressor.

Regarding viscosity, I don't change gun pressure for thicker paint. I change the orifice of the spray tip or thin the paint further with solvent. I always prefer thinner paint because it flows and levels off leaving a flatter surface.