Alternatively, there are now small, in-line regulators available, incorporating a hand grip, and i think a moisture trap The following UK company produce one, at around £14 Sterling. but not sure about any U.S, sources.
everythingairbrush.com
But, as Sweb stated, many of the small, tankless compressors only put out a relatively low pressure anyway, and probably wouldn't really benefit from a pressure regulator. By the time you've bought a regulator/moisture trap, and possibly any adaptor fitting(s) required, for a little extra, it's probably worthwhile buying a compressor already fitted with the regulator etc.