As there is no CD Drive on a MacBook Air, how do you play games off a CD or dvd?

You can purchase Apple's USB SuperDrive or most any other USB optical drive that is able to handle your DVDs. You can also have them put onto USB flash drives so you won't need to use discs. You would need another Mac with an optical drive.

Al:

You would have to get yourself an external CD or DVD drive that connects to your MacBook Air via USB.

Here's an example, but there are many more choices out there:

http://shopping.hp.com/en_US/home-office/-/products/Accessories/CD-DVD-and-Blu-R ay/A2U56AA?HP-External-USB-DVD-Drive&aoid=44661&ci_sku=A2U56AA#ABB&ci_gpa=pla&ci _kw=%7Bkeyword%7D