The Non-Return Valve where the pipe from the pump enters the receiver is the most usual culprit. It's usually a right-angle arrangement and there's usually a spring-loaded poppet in there made of a fairly hard rubber/plastic, seating on a knife-edge seat. The rubber/plastic poppet tents to harden up over time and develop cracks, which allow air to pass back towards the pump. Off the pump side, there is usually a small-bore line back to a valve on the bottom of the pressure switch. This valve opens when the pressure switch switches off and releases the pressure from the line between pump and NRV, so that the next time the compressor starts, it can get the first turn or so in before there is pressure for it to work against. The valve is open when the pressure switch is off and closed when the pressure switch is on: you'll usually hear a brief hiss from the valve every time the compressor stops. If you can hear a hiss from the valve when it's off, you need to change the rubber/plastic poppet (over here, Britain, they are known as pastilles, but I don't know what they'll be called in the US). Here, they used to be easy to buy but now it's harder to find them. A good pneumatics supplier can get them for a couple of quid, but most places want to sell a complete NRV (or a complete compressor).