My compressor has a moisture separator filter/regulator on it, which does a pretty good job of removing the moisture, but the air here in Alaska is generally drier than a popcorn fart.
Even so, I use another filter right at the gun, and haven't had any problems with moisture in the air. A friend built a condenser setup on his compressor like Mike suggested. Another option is to put a coil of copper that the air runs through in a bucket of cold water.
If you're really concerned about moisture in primer, you would need a big oven to bake parts in. Heat will drive moisture out.
