Welcome to the (intuitive) world of Apple! I hope you enjoy it as much as I and many of the other forum responders do.
Apple has provided you with a tool called Migration Assistant for just this purpose. Here's a writeup:
Please enjoy and use Migration Asisstant, and enjoy your MacBook Air!
The easiest way is to get an external hard drive for USB. Format the drive on your PC using FAT32. Copy the files you wish to transfer from your PC to the external drive. Then connect the drive to the Mac and transfer the files to their respective locations on your Mac.
An alternative is to do the same over your local network using file sharing. Another option: