Answer: Texas sage can take the heat and once established are quite drought tolerant. I think that two things are at work here: first, the plants were probably shaded from hot summer sunshine at the garden center, and secondly, you probably have them sitting in the sunshine where the sun can actually heat the nursery containers and bake the roots, no matter how much you water the plants.
So, try setting the containers in a spot where they get some shade from the sun, or plant the shrubs in the ground where the soil temperature is lower than in a black plastic pot. Water deeply every 3-4 days and wait for your plants to perk up. Once they do you can prune off the dead and damaged plant parts.
Best wishes with your landscape.
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