Alveolus and capillary. The walls of the alveolar sacs are made up of a single layer of very thin cells, and are intimately surrounded by a bed of capillaries. These walls are so delicate that the inhaled oxygen can seep from the air sacs to bind to the hemoglobin in the blood, while the carbon dioxide and other waste gasses leave the blood and diffuse into the lungs where they can be exhaled.