Hello, emwest.
"having them in hot mid day and early afternoon sun would be much too hot?" Yes, it would be very inhospitable for hydrangea macrophyllas. For example, in the northeast, only hydrangea paniculatas are able to take full sun; a few areas in the extreme north have weak summer sun that allows for full sun exposure of macrophyllas.
"Wouldn’t the afternoon sun end up being less hot and burning and more suitable?" In the very early Spring, it does not matter much. In the summer, the afternoon is hotter and the leaves can dry out or get sun scorch; the same goes for the evening sun. As a result, I tend to grow them here in Texas as under story plants, usually with a northern or eastern exposure that starts shade by 10-11am. I have also grown some in full but very bright shade.
Here in Texas (Dallas/Fort Worth Metroplex), hydrangea macrophyllas need dappled sun or morning sun until 10-11am (then shade in the afternoon and in the evenings). They can also receive full sun in the very early part of Spring only (applies to potted specimens) but as soon as temperatures typically reach or exceed 85°F, that full sun exposure needs to go out the window. The location will greatly benefit the plant if it is not windy and the plants do not get light/heat reflections from bright walls or surfaces. In the hot summers, even a slow but hot & dry breeze will dehydrate the big leaves easily.
During the cool weather of early Spring, begin to water them at Spring watering levels once you see leaf out or new growth. As soon as temperatures typically reach or exceed 85°F (usually by May), begin to water them at Summer watering levels (more water per watering? more frequent waterings? both?). As soon as temperatures typically reach or exceed 95°F, consider also hand watering off schedule when the soil feels dry or almost dry at a depth of 4". As soon as temperatures typically stay under 95°F, discontinue the optional hand watering. As soon as temperatures typically stay under 85°F, resume watering at Spring watering levels. Once the plant goes dormant, feel free to reduce the amount/frequency of waterings further based on local rains. Continue testing the soil regularly and watering if the soil feels dry at a depth of 4". Water during dry winters and resume watering at Spring levels once you observe leaf out or new growth. Note: when the plant is dormant, you can no longer notice when the soil is dry by simply observing changes in the leaves or blooms so using the finger method is important.
To tell if the plant needs water: insert a finger into the soil to a depth of 4" (that is the typical depth of most hydrangea roots); water if the soil feels dry or almost dry.
To tell if you used enough water: your watering should get the soil moist down to a depth of about 8". So, the next time that it is appropriate to water, water; wait for the water to drain a little; insert a finger into the soil (try several spots) to a depth of 8" and see if it feels dry. If it feels dry, you may have missed a spot, the soil does not drain well or you need to use more water.
Water very early in the day starting with the crown (where all the stems originate from) and water outwards in all directions. Never water the leaves in order to minimize leaf spots or powdery mildew fungal infections. Maintain 4" or organic mulch (no rocks) all year around and past the drip line.
Wilting/drooping/browning of leaves and-or blooms: this happens when the leaves lose leaf moisture faster than the roots can absorb more water. The following types of heat stress can cause this: windy conditions; sunlight after 10-11am; temperatures that typically reach or exceed 85°F; low humidity; lack of water or lack of enough water (the edges of the leaves turn brown and continue browning inwards); new plant with small root systems; recently transplanted plants whose roots got disturbed too much; roots that develop root rot due to over-watering. I have had to use umbrellas and outside chairs sometimes to provide "extra" shade sometimes. When temperatures are hot, hydrangea leaves may wilt but, if the soil is moist enough, they will perk up by the next morning (if not perky by morning then water them). I sometimes let the plants remain wilted as the roots just cannot absorb moisture faster than the leaves lose it. You may observe that when the soil is moist or even soggy but the plant is still wilted during the day... but recovers at night on its own.
Most New Mexico (and large parts of Texas) soils are high in alkalinity; therefore, amendments are regularly needed to adjust pH and reduce alkalinity so the hydrangea foliage will not develop symptoms of iron chlorosis (the leaves change from dark green to light green or yellow but the leaf veins remain dark green). Amend the soil using garden sulfur, iron sulfate, greensand or aluminum sulfate to maintain some acidity and minimize the chance of getting iron chlorosis. Hydrangeas will tolerate some alkalinity like my 7.6 soil pH (meaning they will not show symptoms of iron chlorosis) if you regularly amend the soil. Follow the amounts and frequency recommended by the selected soil amendment product as these products contain sulfur and "too much" sulfur can burn the shallow, tiny, fibrous hydrangea roots. If the recommended amounts do not improve the foliage (and this improvement is extremely slow... weeks to almost a month sometimes) theeeen slowly increase the amount of product used. There are iron-chelated liquid compounds that you can also use (sold at most plant nurseries) but these need to be reapplied more often; however, iron chlorosis gets resolved a tad faster with the liquids.
Some of your New Mexico soils are often lacking in organic matter so hydrangeas (and other plants) will benefit if you add organic matter as fertilizers. You can use about 1 cup of organic compost, composted manure or cottonseed meal for a newly purchased hydrangea. You can also use a general purpose, slow release, chemical fertilizer with a NPK Ratio of 10-10-10 (or similar) that also includes micro/minor nutrients. You can apply the fertilizer after the chance of late frost has receded but no later than three months before your average date of first frost. You can optionally use liquid seaweed, liquid fish or coffee grounds.
Notes: I would recommend growing hydrangeas in pots if your soil is caliche like in parts of central New Mexico and Texas. Oakleaf hydrangeas (a.k.a. hydrangea quercifolia) are the most drought resistant of hydrangea types.
Your Hydrangea will not enjoy any hot sun, and need to be planted in a shady place out of sun that hot. They will also need lots of water to survive. Maybe, if you really want to grow this, you could create some shade for them with some kind of structure.