The shocks are supposed to have a small amount of air in them. I build mine as follows and they seem fine:
1) Fill body 1/2 full with oil. Pump the piston so that releases any air underneath. Dont allow it to break the surface of the oil.
2) Leave to stand for 2-3 minutes (this allows the air bubbles to break the surface)
3) Top up with oil so so it forms a slight "dome" at the top.
4) Remove the bleed screw from the cap. Add a little oil into the cap.
5) Screw the cap on fully.
6) Fully compress the shock. Oil should come out of the bleed hole.
7) Reinsert the bleed screw whilst the shock is still compressed. Wipe up excess oil.
Done! If this differs from your procedure and you are getting lots of air in the shock, something must be wrong elsewhere...
HTH
