should be one wire to the horn,,,,,, not sure why you went the air horn way,, i would have gone the dual hella supertones (350,500hz) like on the Benz's (too much to bother with going wrong, compressor dies, gets wet, or hose gets crimped etc..)
but as far as the air horns goes there should be a positive and a negative wire to the compressor
go to this website,, and it shows a complete install on a mazda miata,, same principle...
kinda indepth but if you read it you can find out how to wire everything up...if you do a search on the net you should find other sites... type in "hella airhorn wiring instructions" hope that helps
http://miata.net/garage/horn.htm