It sounds like you are describing the bleed off of pressure from the discharge tube after the compressor shuts off. The small tube that runs from the check valve to the pressure switch lets the pressure bleed out of the discharge tube when the compressor turns off. This lets the compressor start without a load when the pressure drops and the pressure switch turns the compressor back on.
When air leaks from the small tube all the time it is because the check valve is not sealing good. The check valve uses a stainless ball to seal the line off and hold the pressure inside the tank. If you remove the check valve and spray it full of WD40 and shake it good 2 or3 times, you will usually clean the debris off the steel ball and it will seal again. If air continues to leak from the pressure switch, replace the check valve.
If you are certain that you have a problem and you do not feel confident diagnosing and repairing this problem yourself, then you can have it repaired at your home by a Sears technician. Here is a link for the website:
Sears Home Services