I will never use nails, no matter how much faster. I'm sure they work, but I would only use them if i'm keeping the wood clamped overnight. Then there'd be no point to use anything, glue is all the strength.
I used countersunk screws and liquid nails, but i'll use wood glue on all future builds. Much nicer to work with than a cauking gun. The screws are what pulled my wood together nice and tight, not my hands. Especially when I had a couple 1/16'' gaps that needed constant pressure to be pulled together until the glue dried.
to the OP, If you can't return the compressor, which may be more useful than you realize, pick up a cheap air tool set with a drill, sander to make the compressor more useful to you.