If you have air but no paint, make sure the vent hole in the top of the cap that the bottle screws into isn't plugged or covered.
If everything is hooked up except for paint, hose, pressure, etc. and you press the trigger down and back do you feel air coming out of the tip? If you aren't sure stick the tip in a glass of water and see if it will blow bubbles when you press the trigger. 30 psi is a lot of pressure for a model so you should certainly be able to feel it if there is air coming through.
If there is no air, make sure the chuck that holds the needle is tightened. If it slips the needle won't pull back out of the nozzle.
If there is still no air at all you probably have a bad or clogged air valve or the trigger is not seated properly on top of the air valve. I don't have an Anthem so I can't tell you how to disassemble it, but remove the trigger and make sure it is seated on top of the stem that comes out of the air valve (you'll see what I mean when you get the trigger out).
If that doesn't help, see this post:
http://www.finescale.com/fsm/community/forum/topic.asp?TOPIC_ID=23240
I posted it this morning after taking an air valve apart and cleaning it.
If those don't work, call Badger in the morning. They have great customer service and will take care of it for you. Or let us know and we'll see if we can think of something else. MikeV probably has some ideas I forgot.