How do we die and go straight to heaven, then when He comes back – be the first to leave the grave to meet Him in the air?

Thank you for your interesting question. First, we would explain that not all mankind are part of the resurrection to the eternal heavenly reward described in your question. The Bible teaches two resurrections in John 5:28, 29, "… the hour is coming, in which all that are in the graves shall hear his voice, And shall come forth; they that have done good, unto the resurrection of life; and they that have done evil, unto the resurrection of judgment." (NASB, ESV are more accurate translations.) This "resurrection of judgment" includes

– all mankind who died before Christ's death and

– those who died after Christ but who did not follow Him, whether heathens or those who claimed to follow Christ, but did their own will, not the Father's will.

All of these are today in the sleep of death, waiting for this resurrection. The "resurrection of judgment" is a resurrection to a testing and trial time. The Greek word translated "judgment" is "krisis" which means trial – a time of testing. This occurs during Christ's kingdom on earth which we have been taught to pray for: "Thy kingdom come, they will be done on earth, as it is in heaven," Matthew 6:10. God has lovingly provided for all to have a full opportunity to know Christ.

The "resurrection to life" (John 5:29) relates to your question about those who have faithfully and sacrificially followed Christ. 1Thessalonians 4:16 says, "For the Lord himself shall descend from heaven with a shout, with the voice of the archangel, and with the trump of God: and the dead in Christ shall rise first."

– Who are "the dead in Christ" who rise at the time the Lord returns? They are the faithful saints, the "called, chosen, and faithful," Revelation 17:14, who lived a life of total consecration to the Lord, following in Jesus' footsteps.

– When did these live? After Jesus completed his sacrifice on the cross, was resurrected, and ascended to His Father.

But there is more! After resurrecting these, during the time of Christ's continued presence, the work of gathering his saints continues as the faithful saints die, one by one, until the full number is gathered. 1Thessalonians 4:17, Then we which are alive and remain [those who are Christ's after His return to earth when He is present] shall be caught up together ["together" here means the same place not the same time] with them in the clouds, to meet the Lord in the air: and so shall we ever be with the Lord." These go, one by one, "straight to heaven," instantly changed: 1 Corinthians 15:51, 52: "…We shall not all sleep [as did the saints before Christ's return] but we shall all be changed [resurrected and rewarded to life immortal] In a moment, in the twinkling of an eye…"