This is prone to happen, any way you cook them. There are two main ways to avoid this: 1. Thicker breading to help keep that cheese inside 2. Not overcooking them since too-hot cheese is what breaks through the breading This recipe has been tested with mozzarella sticks with a very thin breading, so the times recommended here should help avoid this regardless of which type you use. However, all air fryers are different, so if you're worried about this, try air frying just one of them first to determine the optimal time for your air fryer.