The Tank
While you can probably get away with not using an air tank, your system will be much more functional if you have one. Plus, it doesn't add much to the cost.
I thought about a lot of options for tanks, including PVC pipe, copper pipe, scuba tanks, soft-drink CO2 tanks, air brake tanks from a truck, and fire extinguishers. What I ended up getting was the one that I found first, which was an air-brake tank off a Mac truck.
I got the tank from Specialty Truck Parts in San Jose for $15.00. They have a very wide selection of sizes to choose from, and most of them go for between $15 and $25. They are a truck wrecking yard (in case you hadn't figured that out).
The tank I got is cylindrical, 6" in diameter, and about 18" long. It has a small fitting on each end, a drain hole plug and a purge valve.
I had to assemble a complicated fitting, since the fitting on the tank was designed to use a compression fitting. If you can get the original fitting with the tank you buy, you'll be ahead of the game. Like the compressor, it's easy to buy a fitting that will adapt copper tubing to a standard air hose.
Mounting Locations
Where the tank is mounted is an interesting question. There are a number of good places on a Jeep to mount a small air tank. One obvious place would be under the hood, on top of the passenger-side fender, or below the battery, or wherever else you have room under the hood in your particular Jeep. Another good place is up inside the frame-rail, just beside the rear driveshaft.
The place I like best though (thanks, Joe) is up above the rear differential. There's a space up there that can easily take a tank of the above dimensions, and the differential will never articulate that high. I have my tank mounted up there, and although it was a pain to get it up there (working by myself), it's in a nice spot, and I don't have to worry about it. You can see the tank in that position above.
Go back to my On-Board Air page.