A method of assembling an air bearing, the air bearing having a guide on a fixed side, and a slider having a pair of opposing members arranged on opposite sides of the guide, the slider being float-supported so as to be able to move relative to the guide, the method having: contacting a first opposing member of the pair of opposing members to the guide; supplying compressed air of a predetermined pressure between the first opposing member and the guide contacting each other, so as to form a temporary gap twice as large as a target bearing gap between the first opposing member and the guide; maintaining contact between the guide and a second opposing member of the pair of opposing members; and supplying compressed air of a predetermined pressure between the first opposing member and the guide as well as the second opposing member and the guide, so as to form respective target bearing gaps between first and second opposing members and the guide, in place of the temporary gap.