Allow time to acclimatize to full desert conditions. Conserve your energy at first rather than acting as if you were still in a temperate climatic regime.
Stay out of direct sunlight whenever possible, especially once the sun is high. Whenever you can, do what the locals do, move from shade to shade.
Wear clothes to protect your skin from the sun, particularly your head and neck. Use a high Sun Protection Factor (SPF) cream, Footwear is a matter of choice though many of those from the temperature parts of the world will find strong, light but well ventilated boots ideal for keeping sand, sun, and thorns off the feet. Slip on boots are best of all since they are convenient if visiting Thar encampments/housing/religious sites, where shoes are not worn.