Here is a good reference on florist azaleas:

Here is a link that might be useful: Care of Greenhouse Azaleas

Haylo, it appears to me your azalea is outside. Just to add a little to the link rhodyman has given you - A greenhouse plant grown for the florists trade as I am guessing your current plant to be has never been outdoors and should be introduced gradually to real world conditions. Its never seen actual sun, or wind, and where this one looks more affected on one side I suspect thats where natures elements have touched it. If you wish to grow this outdoors, a period of hardening off much like you would do a tender annual, with outside exposure gradually increasing over a period of several days before its left outside full time, would give it a chance to better acclimate.

But if I could suggest too, if you are wanting an azalea to grow in a container outdoors you might be better off to shop regular nursery-garden stock and not the blooming plants/floral/gift department. These azaleas forced to bloom for florists delivery or to coincide with a particular holiday are not grown with long term plant health in mind, but for early and easy to manipulate flowers. They've been on a regime of special lighting and temps, fertilizers, growth regulators and while sometimes they recover from that and are fine, equally as often they are never the strong plant a nursery could provide.

If you receive one as a gift or buy one for a table centerpiece and want to try it outside later, that's fine, but if you are shopping for your garden or patio you would be wiser to buy a plant grown with that in mind.

No, no, no, no. The first azalea I received as a gift was bought from a grocery store. This one was bought at a nursery. It was outside in direct sunlight when I bought it. Are you saying I should keep it inside?

The grocery store azalea was almost certainly a greenhouse azalea and hadn't been outside and probably wasn't a hardy azalea suitable for being left outside in the winter or anytime a frost was predicted.

The azalea from a nursery may or may not be hardy. You need to ask the nursery where you got it if it is a hardy azalea. Around Valentine's Day, Easter, Passover, and Mother's Day, many places get in azaleas that
ÃÂ 1) have been forced into bloom in a greenhouse,
ÃÂ 2) are not hardy because tender greenhouse azaleas are easier to force into bloom,
ÃÂ 3) because they are in bloom are very easy to sell,
ÃÂ 4) and the nursery will keep doing this because people come back every year to get a beautiful plant and blame themselves when it dies.
As Morz8 said, the azalea probably come to your nursery directly from a greenhouse where it was forced into bloom. Such forced plants are problematic as mentioned in the article that I gave the link to.

So would I have better luck growing my own azaleas?

I don't know where you are in California. Typically, it is best to go to a reputable nursery and ask for a hardy (outdoor) azalea that fits your location, for example full sun, partial shade, or heavy shade. The best location is partial shade when nearby tall trees cast what is called high shade. Then make sure the soil has excellent drainage and is acidic. Then carefully plant using the directions in the link below. Then be sure to mulch the top after planting. You will have to water when the plant shows some stress from being dry, but never water when it doesn't need it. Fertilizing is only necessary if the plant shows signs of needing it. Then only fertilize around bloom time in the spring.

Here is a link that might be useful: Rarefind Nursery's How to Plant an Azalea