Any cookware used with Air Fry mode should be broil safe. A dark, solid baking pan with low rimmed sides, such as a sheet pan, is recommended for use with Air Fry. The darker pan absorbs more heat and promotes better browning and crisping.
There is no need to grease your baking sheets. In fact, doing this may actually create a greasy film that bakes onto your pan. Lining your baking sheet with parchment paper works well when air frying in your oven.
Alternatively, a baking basket or grid can be used. If you do, make sure you put a broil-safe pan on the rack underneath it to catch any drippings. If you don't have an air fry basket, you can purchase this Universal Air Fry Basket & Tray Set (PM48X120).