I wouldn't imagine that it would have automatically appeared in Media Player (if I remember correctly from when I used it!), I think you would have had to store it on your NAS or locally, and then import it into Media Player.
You can still do this in iTunes, but you need to tell iTunes not to manage your library for you (which basically means stop copying everything into the iTunes Media folder!)
Off the top of my head, you need to go to Preferences, Library tab, and untick 'Let iTunes manage my media'
Like I say, that means you'd have to import things into iTunes manually.
Another idea, if you want to have *all* your music on your Air would be to store the iTunes library on your Air, but then symlink all the folders for the media types you don't need to carry with you on to your NAS, so you'd keep the music folder locally, but everything else would be a symlink to a folder on the NAS if that makes sense?