So how exactly does Mach 3 know where the material is? Leaving the material and moving faster is one thing, but how about if it were moving fast? How far ahead would you have to make the speed transition? This kind of thing can be done by high end Cam software where the program starts from a 3D model of the stock material and a 3D model of the part, plus a 3D model of the tool and a kinematic description of the machine so that it can calculate everything. Not to mention you need data on the material, how it is fixtured, how rigid the cutter is etc.
CNC programming is always a tradeoff. How many parts are you going to cut, and which costs more, cutting or programming. If you do lots of one-offs you will likely cut lots of air. If you are doing lots of parts you will spend more time programming and less time cutting air. Get yourself a CAM program, even an inexpensive one like CamBam. Then you can program a larger number of small operations that will result in less air cutting. If you are programming by manually writing G-Code you are likely to cut lots of air as it takes a long time and as the complexity grows so do the errors. This results in doing air cuts to test your program, losing most of what you might have gained.