I just finished most of my air-layering for the season and wanted to share my experience while it is fresh in my mind.
In years past I would simply root limbs which were close to the ground from our two White Genoa trees after observing they would root naturally. Note that we do not attempt to grow TREES in our zone 6A but shrubs which normally have about a dozen shoots about 6' long in season 3.
The books recommend tying up damp sphagnum moss and covering it in plastic. Because of the relative shortness of our season, ideally I want to have time to get these through transplant shock before bringing them in to our sunroom for the winter or our greenhouse. I find that adding some soil to the mix works better not to mention being able to provide  a larger quantity of growing media to the rootlets.
Relevant photo's can be found here:
http://share.shutterfly.com/action/welcome?sid=1QZtWLRw3YsIa

I start out by selecting a place on the limb which can support some weight. I sometimes create a support with a plastic tie to another limb. I then trim 2 - 3 leaves above the chosen spot & either scratch parallel lines around the branch a couple of inches of bark or completely remove the bark by cutting completely through the outer layer. I am thinking that this latter method will result in quicker rooting but it remains to be seen.
I use peat pots (see photo's) but 3 or 4 inch plastic pots will work just as well. After slicing the pot 1/2 way through & filling it with a very damp potting mix/ sphagnum moss mixture, I clamp it to the limb using duct tape to close the pot and (not pictured) slices of panty hose to bind the whole thing tightly. These peat pots will eventually turn to mush but I think the duct tape will hold everything together long enough to do the job. I finish it off with *patterned* clear plastic wrap (it is a little thicker & easier to manage). And then I wait. 45 days should do it, weather permitting. (After the mildest August in recorded history here, I am getting nervous). I also use a 35mm veterinary syringe (without the needle) to water these as needed.

I have also included a photo of a very well designed commercial *Rooter Pot* available from either groworganic.com for you left coasters or leevalley.com for the rest of us.

Last Fall I rooted some of my Petit Negronne whips and planted them out in May (mild Spring) after over-wintering in the Greenhouse and one is 8 feet high & growing. I will prune this guy to 12" for the winter for a glorious shrub shape next year.
Ray Givan cautions that these are not as hardy (as rooting in a bag?). I think he just means don't expect them to winter over the first season outside!

When do you remove? When roots are visible through the container? Do you then just cut the host branch at the base of the pot?

That's right Steve.
When roots are showing I cut the branch below the rooter pot & transplant into a pot. I also prune back to a few leaves at the top. That way I can monitor the transplant shock. When the leaves bounce back, they are ready to bring in for the winter although I will leave them outside until our first nights in the low 40's.
Stephen

Thanks. One last question - how long of a branch do you leave "above" the pot? I haven't tried this method but looks like a good experiment for me in the future.

For my first attempts last year I used the entire stem about 4 feet long. Don't think this is necessary. This year I am aiming at about 2 ft & am looking forward to see if different varieties are friendlier than others to this method. I have a very vigorous CA Brown Turkey, a Celeste, couple of Black Missions that I am hoping will root happily along with a Nero and Kalamata I got from Jon. Negronne and White Genoa seem quite eager in years passed.
With new trees running about $20 each & shipping costs rising...plenty of motivation!
SV

thanks. As an alternate process, my father would take a branch coming from the ground and bury part of it near the base. Later he would cut it free and transplant it. This worked well as I recall.