I don't think you'll be able to do this with the Air. If I'm not mistaken, only a MacBook Pro supports a dual screen mode, the Air is only single screen. Also, I think you need to daisy chain a second Thunderbolt Display, I don't think it will work with DVI, but I could be mistaken.
Fingers crossed, I see an EFI update article! (please, please, please, please!)