Summary
To perform an Air Block, just hold any of the three Back directions while in the air.
Safety At Higher Ground
There are no different directions to Block in the air, so there is never a concern to block different directions. This makes Air Blocking much safer than blocking on the ground as there are less ways to get an opponent to block the wrong direction.
Outside of not having to worry about blocking in the proper directions, everything else that applies to regular Blocking on the ground also applies to Air Blocking.
The main thing worth noting is that, as soon as you Air Block anything, any upward momentum you had will immediately be ended. Regardless of which direction you were traveling in the air, after an initial freeze in the air for half a second right when you Air Blocked an attack, you will start going down and slightly backwards away from the opponent.
Strategy Corner
Many times, when your opponent begins rushing you down, they will count on you being unable to block in multiple directions correctly all the time. They are looking for that one opening to hit you and go into a huge combo afterwards.
In the previous section's Strategy Corner, a technique was described with Felicia where she can attack you from all angles using the Kitty's Helper Hyper Combo, Assists, and her mobility. So if Felicia starts attacking you with such an onslaught, what's your best course of action?
Well, because Air Blocking removes one entire guessing game, the 
or 
game, you can actually try to find an opening to hold up and back to try jumping backwards. If you can get into the air, you can start blocking all sorts of moves, including the helper kitty, and be okay. You will only have to worry about Felicia trying to get through you to the other side and, thus, you only need to react to one situation, making blocking a lot easier. And once you block, start utilizing the Advancing Guard to get your opponent away from you.
So in many cases, when your opponent starts their rushdown, it may be better to take to the air and try blocking as many hits as you can from the sky. Once you drop back down, find another opening to get back into the air to more safely defend again until you can find the hole in their offense and you can make your escape or 
a wrench into their offense. Just be careful not to sit there holding Up/Back for too long trying to jump. If you do, attacks that hit will snag you and you will be comboed by your opponent.