I generally have the best luck with cuttings with firm, green stems . The soft, green, new growth near the tips tends to rot too fast, and woody cuttings struggle to form roots. Some species may differ, though.
Whether you can root your Salvia in just water depends a lot on the species. I've rooted and kept Salvia oxyphora in a cup of water for over a year. However, Salvia greggii cuttings usually start rotting after about 3 days in water.