How to set firmware password for MacBook Air

I'm interested in knowing how I can set a Firmware Password on my mid- 2010 Mac Book Air currently running OS X 10.8 Mountain Lion.

My MacBook Air did not come with a USB key to boot off and since I have no disc drive the instructions to boot off Apple's disks to run the Apple Firmware utility perplex me.

Can anyone explain the steps involved in getting MacBook Air setup with a boot Firmware password that I'll have to enter if someone tries to boot off another disc?

thanks,

Stephen