The big challenge in growing rhododendrons and azaleas in Z4b will be winter low temperatures. It would be helpful to know the specific varieties you have, as the big box stores are often pretty cavalier about selling things not suited to the climate you're in. This would especially be the case for any kind of evergreen azalea if this is what you have. Protecting the new plants from sun and wind for the winter with burlap screens, evergreen boughs, etc. is probably a must. This will not keep them warmer but will protect from dessication.

Keep them well watered for the summer, protect in winter and if they are hardy enough for your zone all should be well.

The rootball is probably rather small for the size of the plant and that is causing it to dry out quickly. Also, if you didn't ruffle up the rootball before planting the rootball has a relatively small surface are and isn't expanding out in to the surrounding soil as fast as it could. You will have to pay extra close attention to it's water needs until it does.
Mike