If you haven't already, try this --
Click on the Apple logo at the top left corner of the Macbook Air screen and choose "System Preferences", the second item in the drop-down menu.
In the System Preferences window click on the "Sound" icon, it's the fourth from the left in the top row of the second group of icons. Click on the name of the device you have connected to the Macbook's USB or 1/8" audio output. Test for sound.