Hi WPG,
Well, for sunburn, I would recomend a good watering, and place them in a bright, humid and warm area (for me, at this time of year, that means a tank). Avoid direct sun, as they obviously aren't hardened to it....
Don't worry too much, they may loose the leaves that got burned, but they may not. As long as they were reasonable healthy to begin with, they should pull through...I've done far worse to my neps, and they're still around!
The best thing to do is just leave them alone to recover once you have them in a good climate. Be patient, neps can take a some time to recover from stress.