I think the best way to swap lenses is as infrequently as possible. If you can plan a shoot so that you only use each lens once, you minimise the risk of dust getting into the camera on the sensor, or into the barrel of the lens.
It is a good idea to avoid bright sunlight, as you suggest. Most DSLRs have a mirror and shutter to protect the sensor but some mirrorless cameras don't use a physical shutter (I think!) so protecting the sensor in this way is a good idea.
It's also wise to avoid wind and moisture, so stand with your body in the way of any wind and cover the lens and camera with a waterproof surface if it's raining. The more you change lenses, the better you'll become at doing it quickly, but make sure you always check a lens is securely attached to the camera body before releasing it! If you can keep the camera strapped to your body that removes an additional risk factor (that of dropping the camera).