I need help set up my new Macbook Pro air

Depends what you mean by setup. If you are using Time machine from old Mac to new Mac then it may take several hours if the file transfer is larger. If you mean setup new Mac without any file transfer then just a few minutes. My setups with file transfer usually takes less than an hour but I have fast TM drives using TB ports.

The initial setup will take less than 15 minutes - if you want to have your backup from your old one ported over, then it depends entirely on how much data needs to be copies and moved. The quickest is to use your external Time Machine backup drive - plug it in and it'll be the fastest way. Doing it wirelessly from one Mac to another may take days.

New iCloud settings