There is one way that you can build air tanks that will not corrode, that is to use aluminum or stainless, tig weld the joints with a purge through the tank during welding. There are other non-corrosive metals of course, but they are harder to come by and would be more expensive.
For you guys building your own tanks, consider that a vertical 80 gal. air compressor tank rated for 200 psi is about .165" thick using SA414 grade G steel. I think the tensile rating is around 80,000. The smaller the diameter of the tank reduces the required thickness to hold the same pressure. Using a schedule 40 pipe would likely hold over a 1000 psi with a decent weld for the pipe caps. Standard wall tubing would be a good choice and it has a better finish. I have ASME code books and a program that calculates this stuff.
HG