Star is a real expert at catching food in the air. Honestly I don't recall how she learned . My son probably just started throwing food at her. Catching food has been good, because some kids are a little afraid to hold out a treat, but they like tossing them to her. She'll jump really high to catch it.
She occasionally misses, but not too often!

I hold it up and wave it in the air a bit to get her attention - then say "Star, are you ready to catch?" That way it's like a game.
I use very small treats to do this - those little Mother Hubbard bits.
A mentioned, some dogs don't ever get it. Rosie never did, the treat would bounce off her nose every time.