Choosing the right pipe
First of all, don't use PVC pipe. If it breaks under pressure, the plastic will shatter and send pieces flying like shrapnel. Use copper instead. It's available at most hardware stores and home centers. Solder it using the same fittings as you would for water supply lines.
If you don't want to solder, use galvanized or black steel pipe. Measure the pipe runs and buy exact lengths; hardware stores will cut and thread the ends for you. Unlike gas and water lines, air compression lines don't require perfect joints, so don't worry if they leak a tiny bit.