one time, I was adding air to my wife's shocks using the hd pump. I would pump it up until I got to the correct psi reading on the gauge, and then disconnect it. wife would go for a test ride, and notice no difference. check it, and see the pressure is low again. try again. after a couple times of this nonsense, I noticed that there was a very slight 'pffft' when I would unscrew the pump. after further investigation, what was happening was that the nut that was holding the schraeder valve on the bracket was not allowing the fitting on the pump to completely seat so it was not depressing the schraeder valve and the psi reading that I was getting was simply a result of the air backing up at the fitting. I tightened up the nut a touch, and was able to now pressurize the shocks.
couple of things to note, if you aren't using a 'zero loss' pump (like the hd pump) you will lose air pressure. if your pump doesn't have a gauge on it and you are using a gauge to check pressure, you will lose air pressure every time you check the pressure. the volume of air is not that great so it doesn't take a lot of loss to make a big difference in the pressure reading.
if you don't have one, get a good zero loss pump. it doesn't have to be hd, check your local bike shop. a lot of mountain bikes use them as well.