I would go with copper.
As Bubba indicated, copper will give off the heat of the compressed air, although I am not sure if this matters for what the air is being used for (tool, etc.).
PVC is out mainly because compressed air can easily exceed 200F and the temperature limit of PVC is 140F. It will turn to spaghetti if exposed to temperatures above 140F. CPVC is out also, it can handle 180F maximum.
Doing a little browsing on the web it appears that ANSI/ASME (B31.8) limit the use of PVC, or other thermoplastics, for transporting compressed gases.
The blue stuff refered to by Gerry may be polypropylene, not 100% sure. Even this has a temperature limit that isn't much more than 200F.
Soldering the copper should be just fine unless you plan on very high pressures. You may want to refer to a temp-pressure chart that will indicate what the limit is for soldered copper fittings. I have one filed away somewhere. Soldered copper should be good for 125 PSI at least.
If you braze the copper fittings you will be golden, since this will handle pretty much any pressure that a compressed air system can throw at it.
Copper type M, L should be just fine. Since compressed air will not corrode or errode the interior wall, M will do just fine. L buys you some extra wall thickness that isn't really needed for air applications, unless of course you will be banging things into the copper tube, then the extra wall thickness will be a little more resilient to being bent or crushed.
In all the Lab projects I have been involved with (day job) type L copper is what we specify. I am not sure what copper tubing 2muchstuff is refering to. The tubing at Home Depot should be the same as a supply house for water or air, but I could be wrong. I know there is ARI rated refrigerant copper tubing, but that is the only other copper tubing I know of.
The other benefit of copper with brazed or soldered joints, over threaded steel, is that these joints are easier to make air tight.
Just my $0.02.
Chris |