Oh yeah, plus if it came from the supermarket, it's been in the air conditioning for days or weeks as well, so the shock of being outside in much warmer temperatures is going to be a little bit tough on it as well. Where are you located? Has the weather been hot? Windy weather will dessicate the plant even faster, so protect it from the wind if you can, too.
I agree with Ken to put it in the shade for a week or two until you see new leaves (flower buds are not leaves) but not too dark. Dappled shade under a tree would be good. You could cut off the spent flower stems as well.
Btw, it's a pelargonium actually.
