...Settings...? OSX is pretty solid out of the box. Just install software for what you want to do and go. I guess the bare basics would be:
1. If you don't have an apple ID you may as well set one up. Lets you buy stuff on the app store, setup find my device, etc.
2. If you need office suite apps, the Apple ones (Pages, Numbers, Keynote) are all pretty good. If you just want the equivalent of Notepad++ try Textwrangler, or if you want something for coding look at SublimeText2.
3. Safari is pretty good, I've had no problem using it for awhile. Plus if you setup iCloud you can crossbrowse with your iPhone/iPad. Some folks prefer Chrome though it has had some weird glitches with OSX this year...
4.
Gestures! No, you don't need to learn much, but OSX makes it very easy to setup multiple desktops (which is great on the Air, you can leave 1-2 apps per desktop) and then you can swipe (3 fingers) between them. There's a button the keyboard to show all of your desktops and manage them.
The other important gesture is two finger swipe (back/forward on web browsers)
There's probably a bunch of stuff out there to learn if you want but OSX (especially on the Air) is pretty good at just working.