I bought a new MacBook Air and need to transfer the data from my old Mac

Here you go: Transfer to a new Mac with Migration Assistant - Apple Support.

Ideally, do that upon initially setting it up.

John Galt has supplied the goto spot but I’ll add one extra thing. Migration Assistant does a fantastic job but one of the suggested methods - from your old Mac - is not a good idea. WiFi is way to slow to transfer more than a couple gigabytes and you’ll probably want to transfer applications, photos, music, etc - tens or even hundreds of gigabytes.

The best solution is to use your TimeMachine backup which you should have and if you don’t now is the time to make one. Yes, it might require purchasing a hard drive but a 512GB or 1TB SSD isn’t too expensive these days and it is a purchase you’ll use frequently. The alternative is to buy a special cable to connect your two computers for a reliable connection and it is an expensive cable you’ll probably only use the one time.