How to make Airmail to open mailto: protocol link? I have searched for this but I can't find anything in search results answering this query.

When I click on mailto link given in a mail inside Airmail,it opens Mail.app window instead of opening it inside Airmail. On setting gmail account on Mail.app, starts downloading 2GB sized inbox.
I use RCDefaultApp to tweak this type of setting and many other.  Note that while this is an older app nonetheless it still works with OS X 10.11.x too.

It's a Preferences Pane style app and it's freeware. You can read more about it and see screenshots at the web site (linked above).