I'd heard that Profiles could not be saved in Lion.
Regards
If you weren't able to save profiles I'm pretty sure there would be a thread about 1000 posts long at the top of this forum and the ColorSync List would have exploded.
Just profile it. If it works it works, if not, give NEC a shout. If the Air has an integrated Intel graphics card you may run into issues with DDC. If that's the case, simply hook up a USB cable to the monitor. Note that if you're using a mini DisplayPort to DVI adapter, you need one that is capable of dual link DVI to handle the PA301W.
As Howard mentioned, WillH is also a great source of information but there's no harm in trying it if you already have everything you need. It will either work, or it won't.
Cheers, Joe