I can only offer advice for my own personal experiences in a very hot and dry area of northern CA. I put new cuttings in an area that gets only dappled sun (or even more shade) from about noon on if the bag is coming off. Sometimes it helps to just open the bag too so it gets used to it like you were saying, but if the bag is already off what I would do is make sure to water it daily, put it in an area that gets afternoon shade, and not a lot of reflected heat. Mulch seems to help too by keeping it cool and keeping some moisture in.

The best advice may be totally different for your area though! Hopefully another with more expertise will offer advice too.

I'm in your area. Contra Costa County.

However, I've recently had it sitting under grow lights. It's still in a bag because within 15 minutes of having it off, the leaves dry out severely. Wonder if the roots aren't picking up water well...

Easiest is inserting most of the length of matured (firm) current season's growth into loose soil in autumn. I've done it in the ground, with the only problem being getting the rooted, sprouting plants moved while dormant later - we have a very narrow window here. But this could be avoided by sticking the cuttings in large pots or tubs. Of course, cuttings in containers may have to be put in protected locations during cold periods.

Have you tried just cutting a hole in the bag so it gets acclimated? That might be worth a shot.