Cybersix, I used "sandwich" bags. Not the zip top kind, but the plain old fold-over cheap sandwich bags.
Barbalee, I filled the bags with peat moss, but I would imagine any water-holding lightweight medium would work. Saran wrap could work, but it might be difficult to seal, and/or get too tight. I think the idea with air layering is to give a little soil and water, but still allow air to get in, so the prolifs don't rot. I really think this is going to work well, since the little plants can grow while still attached to the mother plant.
Beckygardener, Thanks! And wow! Sounds like a vigorous plant. May I ask which cultivar? Might be good to use something like that when hybridizing.