If your vegetables arrive on a cloudy day, plant them right away. If it is hot and sunny, wait to set the plants out until late afternoon or early evening, digging to the correct depth and spacing for each. Fill the holes with water and let it soak in. This first soaking gives the roots plenty of moisture to get seedlings off to a good start. Set the plants in the holes and firm the soil around them to remove air pockets. Leave a slight depression around each plant to collect and hold moisture; water well. If temperatures still dip below freezing at night, protect newly planted vegetables by covering them with protective cones.