There is no way of getting around the need for a baking dish here. We need a place to catch the butter and keep it with the dough, otherwise it would just fall through the air fryer grates and smoke out of the bottom. If you don't have a suitable baking dish that fits in your air fryer, you can use an air fryer baking insert (this is the one I have that works with my Phillips air fryer - paid links) or you could even purchase one of those 8x8-inch disposable aluminum baking pans at the grocery store. If none of those are an option, you might want to stick to the original butter swim biscuit recipe that is made in the oven.