I always put them right over the foam windscreen. As an engineer I've puzzled and puzzled until my puzzler was sore, and so far I can't see a valid reason why an airgap would be beneficial.
It depends on the kind of microphone whether or not an airgap around the capsule will make sense. Pressure transducers are fine with just some foam and maybe a fur on the outside but no air gap.
With pressure gradient transducers (directional mics), an enclosed volume of air around the capsule helps to correlate the low-frequency components of the wind noise so that they'll cancel out.
Most LDCs have enough free space inside their grilles to achieve this with just a combination of foam and fur. With SDCs, this is not the case and you'll want to create some air volume around the capsule, i.e. between the capsule and any kind of wind-abating device, not between foam and fur. Neumann make foams with some kind of coarser foam on the inside, but they tend to make rustling noises which are loud enough to become audible when you're recording very faint sounds, e.g. in nature recordings.
So, the only solution I've found are those baskets* made by Schoeps. Unfortunately, they're almost as expensive as my Rode NT5s.
Ralf
*)
http://www.schoeps.de/en/products/categories/bascet_screen