A SIPHON is simply a tube inside the co2 tank that extends from the valve, to the bottom of the tank. Usually a flexible tube, with a weight at the end. The weight bends the tube from gravity, and ensures that the tube is at the lowest point of the liquid co2.
Like this:

Co2 tanks with preinstalled siphons were very common in the 90s, but have not been avalible new for many years. Siphon "kits" were around until recently. The following picture shows a siphon "kit" that ActionVillage had for sale up until 2002:

The siphon kits are no longer made, but the picture shows that they are very simple in construction, and can easily be fabricated.

To make your own SIPHON TANK, you will need the following things:

1- Refillable CO2 tank.

2- Pin-valve with internal 1/8" NPT threads

3- One foot of 1/8" microline

4- Two 1/8NPT-1/8CP (male to male) fittings.
5- 1/4" oring. (optional)

Note- Some valves can not be used. Below is some of the valves to watch out for.

Some pin-valves do not have internal 1/8" threads, such as many Schraeder-style valves. They are easy to spot as the pin can be remove while the valve is still on the tank. See below.

Some pin-valves have "grooves" in the threads. They should not be used, as they are often dangerous. Plus, if the groove is combined with a vent, it renders the siphon inoperable by allowing co2 vapor to bypass the siphon. See below:

Also dangerous are pin-valves that have had excessive threadlock used. The threadlock clogs the vent, and can render it useless. Below is a pinvalve with a vent clogged with threadlock.

3- Most proshops carry the microline. It is measured by its EXTERNAL diameter. Common sizes are either 1/8", or 5/32". In the event that you can not locate any microline, you can substitute with 1/8" copper tubing from the local hardware store.
4- The NPT/CP fittings are common, and found at most hardware stores. (as seen in the picture). If substituting with 5/32" line, then alter the fittings to 1/8"NPT-5/32"CP (male to male).

To install:

1- Remove the valve. This is the most difficult step, as large amounts of thread-lock are often used my manafacturers. To avoid damage to the tank, or valve, the most common method is to first warm the valve by running under hot tap water. Then wrap tank in a rubber gasket, and place in a vice. Then using a strap wrench (for round valves), or 1" wrench (for hex valves), remove the valve. If it can not be removed, bring to a scuba-supply, or welding/plumbing supply. They usually have the ability to remove it for you.

2- Remove the spring seat from inside the valve. If you look inside the valve, you will see a "hex plug". This is the spring seat (#24). Place the appropriate size hex key (sizes vary), and unscrew. BE CAREFUL NOT TO LOOSE THE SPRING OR POPPET (#20 and #22). You will need that later.

3- Cut the microline to length. This is done by placing the microline into the valveless tank, and marking the length. Then cut an additional 1.5" to adjust for the length of the pin-valve, and fitting.

4- Add the fittings to the microline. First add the compression cap onto the microline. Then add the collet. Then add the fitting itself. Tighten the cap onto the fitting. This will secure against the collet, and hold the microline firmly. Repeat at opposite end.

5- Wrap oring around fitting (optional). To help minimize the unique "ping" of a siphon tank, and simple fix is to wrap a thick oring around the "weighted" fitting, so that when it hits the side of the tank, the ORING makes contact, and not the metal fitting. Another method is to dip the "weighted" fitting into a rubberizing compound. Usually, however, the fitting is left alone.

6- Attach siphon to valve. FIRST place spring into valve. Then place a small amount of teflon onto the end of the siphon fitting. Thread into the pin-valve until secure.

7- Reattach pin-valve. Standard factory specs are: 40lbs torque without threadlock, and 20lbs torque with threadlock. If you use threadlock MAKE SURE you do not put threadlock near the hole on the internal threads. This is a safety vent. If this vent were to be clogged with threadlock, it would be disabled.

When done, this cutaway shows what the tank should look like when finished:

For more info on LIQUID CO2, a excellent resource is: Doc Nickels Liquid CO2 page