Have you given them water AND shade until they recover? You also might need to prune them back a bit.

They've had plenty of water and shade the first couple of days after transplanting because we've had rain and little sunshine. They do seem to be looking a little better today. The next day or so is supposed to be sunny so do I need to shade them somehow? Does it matter how far I prune them back?

My gardening buddy has pulled up lots of black&blue sage, bog sage and other perennials over the years to share with me. I find that maximum survival rate is obtained by potting the plants (not individually;I just gather bunches of stalks of the same kind)and setting them in the shade and keeping them watered for maybe a week. By that time, they've recovered from the shock and are all perked up. You can then separate them or leave them in bunches and plant them in the garden.