Hi ErinFic,
Thanks for raising this question on Apple Communities.
When transferring files from one computer to another, I would use a USB flash drive, they are small, fast, and easy to use.
If you have a fast internet connection and the number of files you are transferring will fit in your iCloud Drive (or similar cloud storage) quota, I would suggest uploading to iCloud Drive from the MacBook Air, and download them onto your MacBook Pro. You can then delete the files of iCloud Drive when you are done transferring.
Alternatively, you could set up a local network share with an Ethernet cable connected between both MacBooks. This is more cumbersome but could be faster than the USB flash drive / cloud options above.
See how you go with this, and let me know if you have any further questions on my advice.
Kind regards,
Arash