I just got a .257 Texan. Bottle came loose the first time I had it at the range. I put a light film of silicone grease on the valve threads to make it a bit easier to torque down the locking nut. So far it seems to have worked. Now I need more air.
It goes in the tube holder/barrel shroud housing. I've had mine fall out during teardown. When you bolt down the grip, that keeps the plastic from compressing too much under tension. Been a while since I've juggled it back into the gun.