You can leave the dry parts, it doesn't hurt the plant.
It's quite common unless you live in tropical humidity. Once they are established plants they can handle it well, some leaves will have dry tips all the time but the plant will keep growing.
While the plant is still small, spraying or a humidity tent can help.
I also support giving it a bit more water, salvia is quite tolerant of damp (not completely wet) soil. One it is a big established plant (> 50cm) you can let it wilt a bit before watering, but at the moment I wouldn't do that. (But notice that they may wilt quickly within 1/2 day.)
Avoid full sun on the leaves, especially at noon the plant should be behind a wall or another plant so to receive only indirect light.