You need to know whether you need a high or low pressure shock pump. Marzocchi forks like low, as do the Manitou swinger shock.

If I was buying a high pressure pump, I'd buy a Fox. They're pretty accurate.

That sound of air escaping when you disconnect is just the air in the hose, not air escaping from the shock.

As far as frequency, I check the pressure every ride by at least pushing down on the fork or shock, and paying attention to the balance of the bike. If your fork or shock is losing air between rides, you should have it serviced someplace like Push Industries (who can also install a ProPedal Platform).