Thanks for all the feedback guys!
The nailer I bought is an oiled nailer. I think I'll try going with the "few drops of oil every time" approach and see how that works. I'll definitely look into getting an inline air filter.
Interesting to know about Teflon tape! I have some experience with oxy acetylene, where Teflon tape is a huge nono... Never heard of pipe dope before, thanks, that stuff looks great.
Danny, I'm looking to get one of those pancakes, or a small twin stack compressor. Nothing fancy, just something to power the nail gun somewhat reliably. I'll definitely be wearing eye and ear protection! (And steel toe boots when I get to nailing.)