If you have to water, doing it in the evening minimises the amount lost to evaporation before it soaks in.

Using a watering can instead of a sprinkler also reduces evaporation losses

Another handy trick - if you have to wait for ages for water to run hot like I do - collect the cold/luke warm water in a bowl and tip that over the lawn.

Also, if you have a water butt to collect rain off your roof, you can use that for the lawn (it's the best water of all as it's no chlorine or water-purification chemicals - they're not particularly bad, but without is better)