Basically, it’s like this: the shorter the wavelength, the easier it is to penetrate the air. Short-wave infrared generates heat by heating the solid that it meets with, without heating the air around it. A good example for this mode of action is the effect that occurs when a person walks out of the shade into the sunlight. Although the ambient temperature remains the same, they feel the temperature as considerably warmer under direct solar radiation. This phenomenon also allows you to sunbathe on your skiing holiday at very low ambient temperatures.
Long-wave infrared rays, on the other hand, do not have this effect; rather, they warm the surrounding air and thus take considerably longer until a feeling of warmth sets in.