Yes you need to thin the paint. It depends on the paint your using how much to thin it..its kind of a trial and error until you find the consistency that works with your airbrush/paint combo. That said, those air cans ive never had much luck with..they work, but its very hard to work with the cumbersome can, and they usually dont give much pressure, at least the ones i had anyway.
Paintwise, at this stage of the game, id say your best bet for paints is Humbrol and testors/ModelMasters. Floquil/pollyscale was a popular one but they have been bought out by Testors and discontinued. Whatever is left out there isnt much.
I use whats left of my Floquils, and mostly Humbrol and Model masters paints
My airbrush is an Iwata Eclipse.