OK, I am about to post a project i completed last night and today, and I had the same problem when I started. Things to check. If you removed the switch, it is possible the piston housing did not seat back correctly. I rebuilt the whole compressor to get minre right, and "seated the piston housing by rotating it in its own housing. The bottom does not have a gasket whereas the top does. The obvious second check is the top sealing gasket on the piston housing. If thats fine, check the spring check valve built into the plastic moulded bit that leads to the compressor, and while you are at it, check the air feed check valve. This sounds complicated, but its a 30 min job to strip it down, clean and rebuild. (5.5mm socket and 8mm socket - after you pop the cap off).
OK, the next and most probable is the seal to the air canister thing. Loosen the bolt, remove it, and check the O-ring around the outside. As these appear to be cast aluminum there is a TON of corrosion in there, and its recommended to clean it once a year anyway (I talked to ARB yesterday as mine was not holding pressure either). Turned out it was the reservoir canister o-ring. I actually had to strip it a 2nd time as the bolts holding the piston housing down don't go in easily and then the piston housing was not holding either. OK, if you have check all that, and as mentioned above with soapy water....check your piping with soapy water. OK, if thats not the cause, check my post about to go up. I put a nipple and a T right at the outlet with a shutoff valve locally so that I can isolate the ARB from the other tank. This way I could pinpoint any problems, and if there is a hole in the line, shut her down and still have lockers.
Check my post and send me a pm if you still have problems.
Good luck...this is neverending....one day i will write a book about this car....wait...Its already been done by Haynes!!
Ed