Like others, it is a habit to turn the power off and close the ball valve once I'm done with air. I usually clean up and put tools away or at least in one spot so I'm often in the shop 15 minutes or more after I'm done with air.
A comment on the LED idea. If you have 2 hots and a ground for your 240V, you would have to run a neutral for 120V and that could be PIA. Maybe they make 240V LED's, I don't know.
There are threads on the Garage Journal where guys are trying to do similar things, 1 recent one was where he wanted to be able to disable his compressor when he turned off the shop lights.
I can try and find some of those threads if you'd like.
