You can't bake or fire air-dry clay. Air-dry clay has been specifically designed to dry well without being fired in a kiln or heated using a microwave or oven.

Air-dry clay has chemicals added which enable moisture to naturally evaporate from the clay. Unfortunately, this process makes the clay more flammable, and it should never be fired or heated in a kiln or oven.

Since air-dry clay is superficially similar to ordinary clay, it can be shaped as normal and even used on a potter's wheel. However, because the clay is more flammable that regular clay, it should also never be near naked flames or used to sculpt candle holders or any items that are often close to fire.