That actually depends.
Experienced the same problem once.
Sound is intenal by default, so when you've connected your TV then go to preferences and switch your output method in the sound settings of your MBA. ( it'll only show HDMI once the cable is connected)
Some (cheap) adapters / adapter cables actually don't provide the possibility of transferring sound. Be careful and make sure when buying. I'm currently using a DIRECT cable ( Mini Displayport to HDMI - so no adapter + cable) from kanaan. Bought it of from Amazon. Works like a charm!
Cheers