The 8.5 by 11 paper is flat but air is a volume. So assume a box which is 8.5 by 8.5 by 11 and fill it with air molecules at average sea level pressure, namely 4 x 10^23 molecules of mostly N2 and O2. Now add 0.04% CO2 which is about 10^20 molecules. That is enough to intercept many of the IR photons passing through that volume even with those molecules being very small and spread out. In fact all IR photons leaving the earth's surface are intercepted in about 47 meters (the mean free path). That is one of the best arguments for why adding a bit more CO2 doesn't make much difference although it obviously makes some difference as "atmospheric thickening" agent would.
So they intercept the IR. The point is they have a small effect since other molecules, like moisture in the air, do the same thing and the CO2 molecules are vastly outnumbered by them.