Hank,
I was probably in the same boat as you a few years ago when I started painting. Like the others say, ya can't have clean enough air, especially with the newer urethane paints that seem to fisheye on ya if you look at it wrong.
I too didn't want to spend a couple grand on air treatment for a little hobby spraying on the side, so after a lot of trial and error, (more error really), I'm finally able to get pretty consistent results. I ran a little over 50' of 1/2" copper out of my compressor with two drop legs with ball valves towards the end of the run. I then ran a filter just like what you're considering, only mine was from Sharpe. At the gun I run one of those Devilbiss whirlwind ball filters. I tried it without the final filter but had mixed results, they really do seem to help, especially with removing those last remaining oil particles, which is the big problem. I replace the ball filter pretty regularly, they're cheap enough, and drain everything else daily if I'm using it. One last thought is to make sure the air hose you use for painting is clean. I keep a separate one just for painting, and before using it for the first time, I flushed it with denatured alcohol to make sure it was clean. Don't know if it's recommended to do that, but I figured there could be contaminants in the hose from manufacturing.
It sounds like a lot of work, but when you're spending $300-$400 a gallon for paint, boo boo's get expensive.
Bob