Here is my post copy-pasted post i wrote previously on my experiences with my spray gun, after practice i'd say it's very easy to get a consistent level effect without havinng to do multiple coats.
Now i only have experience with the air compressor i bought and rather then telling you how to work it i will give some tips from what i've learned by trial and error.
First of all my compressor is a Sparmax dual engined job with a Paasche single action airbrush kit, i got it from Tactics, now it's not cheap, all up it will cost you in the region of 350? iirc (i try to put the costs to the back of my mind about this hobby!) but if your in a club you should get your Tactics discount.
Now having a more expensive dual engined compressor means that you will have continual air flow, without the pressure having to build up again, which is very nice, and it will also last longer because it has to do less work.
The airbrush is single action meaning you can't control your mixture as exactly as a double action, but since we're painting miniatures and not doing touch ups on movie stars i don't think it's necessary, i certainly didn't want the extra hassle of learning one.
You will also want to get some airbrush cleaner (although you can use workshop materials for cleaning, this airbrush cleaner is very good at getting rid of acrylic paint) and paint thinner, which is vital.
Getting it set up is simple enough, plug it in, screw in all the attachments and so on, you will get instructions with it, test it with a bit of water and you see soon enough if you have done it right.
You have to get your mix of paint to thinner right, people say you need it the consistency of milk, which is pretty accurate, it has to swirl around freely but not be too watery. After a while you will start to know what is required from your consistency but it will take a few attempts. When you spray you will see whether or not it is too watery.
With your airbrush you will get different sized nozzles, with rings denoting size, for Games Workshop paints i use the smallest ring, the single ring one on my airbrush. However for my Vallejo paints (and probably foundation paints which i have not used) i use a 3 ring nozzle, they have greater pigmentation which i assume makes the difference. Vallejo paint didn't even come out of the single ring nozzle.
It is also very important that your seal is intact in your reservoir bottle, it is a little cardboard O-ring and if it isn't in there, intact and making a decent seal your airbrush will spit and misbehave terribly.
Cleaning is very important, as soon as you are done spray an amount of airbrush cleaner through the gun until it comes out clean (it is very whiffy so do it outside, which you might want to do anyhow with your spraying because it although not when its windy!) Then take down all the parts and swirl them around in some cleaner, then get in there with ear twizzle sticks and toothpicks and clean it up as much as you can (this is the worst part about having an airbrush)
Apart from that follow the instructions you get with the air brush and you will be fine.
Don't expect miracles from the airbrush, it does take a fair bit of practice and trial and error, but after a few goes you will start to get a feel of what paint consistency you need, i have so far done 10 vehicles with it, and it works brilliantly, it speeds up my painting time infinitely, using it for basecoats and doing camo patterns by taping up sections and spraying. You will also find it handy for doing base and undercoats that you want in non-can colours (i am imagining things like masses of Skaven or Skeletons)
I wouldn't want to not have one now i have been using it, but if you don't plan on doing a lot of painting (especially vehicles) it's probably not worth the investment. That said i am not doing anything fancy with mine, and you can be very creative with them.