Gas bearings are popular for their high speed capabilities, low friction and clean operation, but suffer from poor damping, which poses challenges for safe operation in presence of disturbances. Enhanced damping can be achieved through active lubrication techniques using feedback control laws. Such control design requires models with low complexity, able to describe the dominant dynamics from actuator input to sensor output over the relevant range of operation. The mathematical models based on first principles are not easy to obtain, and in many cases, they cannot be directly used for control design due to their complexity and parameter uncertainties. As an alternative, this paper presents an experimental technique for "in situ" identification of low complexity models of the entire rotor-bearingactuator system. Using grey-box identification techniques, the approach is shown to be easily applied to industrial rotating machinery with gas bearings and to allow for subsequent control design. The paper shows how piezoelectric actuators in a gas bearing are efficiently used to perturb the gas film for identification over relevant ranges of rotational speed and gas injection pressure. Parameter-varying linear models are found to capture the dominant dynamics of the system over the range of operation. Based on the identified models, decentralised proportional control is designed and is shown to obtain the required damping in theory as well as in a laboratory test rig.