I would say, in the morning when there is no dew or damp on the leaves and the sun has warmed the leaves up and released the aromas.

Whenever you like - in my experience, it makes no difference.

If you're new to drying herbs, I find the best way is to spread them out on a piece of perforated brown paper. Put the paper directly onto an oven shelf (don't use a baking tray). The oven should be at a very low temperature, and the door kept slightly open (you want the herbs to be dried, not cooked). The drying process can take several hours, but it varies depending on the herb, so remember to check from time to time. :)

Rosierose's suggestion is one way but hanging them up in a bunch in the greenhouse to dry out is what folks always used to do and doesn't cost you in electricity or gas.

I thought they were better hung out of direct sun?

There is a lot of advice out there about drying and herb Stera. though I would agree out of direct sunlight is probably better as you need the oils to remain in the sage to flavour the food.

The problem with hanging them up to dry naturally (which should be out of direct sunlight) is that it takes so long in this country now - due to climate change and the wet, humid conditions we now suffer (especially here in Wales and the west of the UK in general) - if the herbs ever do dry out successfully (and it can take weeks), most of the essential oils that produce the flavour have been lost. In my experience, at least.

You can put them in a brown paper bag and hang them in the airing cupboard.