Because the MacBook Air has a built-in internet restore feature, it isn't necessary to create a recovery USB drive, but you might find it useful depending on the speed of your internet connection.
From what I understand, there are 2 scenarios involved in recovering with Lion.
1) If you have the recovery partition on your drive, the recovery partition downloads and installs Lion.
2A) If you don't have the recovery partition on your drive and you have a USB recovery drive, it will boot the recovery partition from USB and download and install Lion.
2B) If you don't have the recovery partition on the drive or USB, and you have a 2011 Air or Mini (equipped with internet restore), the onboard Firmware will download and install the recovery partition, which in turn can be used to download and install Lion.
Having a 2011 Air and a USB restore drive will only really save you the time it takes to download and install the recovery partition. At ~700MB, on a modern broadband connection, the download may only take 10-20 minutes anyway.
