how to attach my spray gun

you have it the right way, you need to keep air pressure in the tank and hose.

it is most convenient with a spray gun to have a metre or two of lightweight hose attached to the gun directly, so you don't have to support the extra weight of a coupling/heavy hose. many air tools can be advantageously fitted with a 'whip' hose, especially useful with air chisels which tend to self disconnect in use. Most of my air tools are fitted with a swivel coupling (toolstation) which makes them much easier to get to awkward places, a whip hose would do the same job but take more room in storage, which is why in the domestic area people tend to fit the coupling straight to the tool. a disadvantage to having a straight coupling directly on the tool is that if the tool is dropped the coupling can wreck the tool, so if you have the room go for whip hoses (or swivel couplings ) on anything you can, especially air wrenches, sanders and chisels.

Actually you have it the correct way as the female has a one way valve.

You should not be using the same hose on the spray gun as you should have clean moisture free air, for spraying.

I use a filter and regulator combo two outlets. One side high pressure the other regulated air pressure for spraying.

Two hoses one smaller and lightweight for spraying and larger ID for air tools.

My spray line is rubber and does not tangle as much as plastic. The other is plastic to resist grease.

yup. Although I think you can't get them from toolstation anymore, you'll have to resort to screwfix. Plus a metre ofsoft flexible hose before you get to the heavy duty stuff makes life a lot easier & lets you use cheap HD air hose for the long bits.

Thanks folks. I've tried it out a couple of methods and my original method seems fine despite what the manufacturer's instructions say, though I've added a second water trap directly to the gun.

I've spent the last week welding, grinding, filling, sanding and spraying an old rear hatch panel in preparation for the real thing.

That will make the gun heavy to use!

Water should be stopped before the hose.

I don't yet know if it'll be a problem. I've got a combined water trap and pressure regulator just downstream of the compressor, and a little trap about the size of a fuel filter screwed onto the gun. Maybe I don't need it at all, but it doesn't seem to add much to the weight.