Bring a lot of sunscreen, wear a hat, have dark sunglasses, and drink lots of water. If you have fair skin, use a lot of lotion as well as the dry heat can really mess up your skin. I have to use the double amount of hair conditioner as well.
I don't care that it is a dry heat, so is my oven and it's damn hot at 120+ degrees. The sun will feel like it can melt you on the spot.