Welcome to BAUT, PhotonFanatic.

I can't give you a solid engineering answer to the atmosphere question, but a friend of mine worked out that if you suddenly provided the moon with a breathable atmosphere, it would linger for something like 10,000 years. (I'll chase him up for the proper figures later - and perhaps how he worked it out.)

Obviously, if the moon can hang on for that long, Mars would have no trouble. On the other hand, giving it an atmosphere in the first place might prove to be a somewhat difficult task.

I think the issue here is that when we're discussing planetary science, we're too used to thinking in terms of millions or billions of years.

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If you could touch the alien sands, and hear the cry of strange birds, and watch them wheel in another sky, would that satisfy you?