The reason that I use baking molds is because the batter is contained in the baking mold, so no mess. I have tried doing it on the air fryer tray directly, but I have found the results inconsistent, and messy. There are recipes out there that do use the air fryer tray directly. In that case, you would need to make a super thick batter and use parchment paper (or Chinese steamer papers). Carefully place the batter on the tray and air fry till crispy.