There are many ways of improving water retention in your soil, from mulching to growing or artificially constructing shade. I feel that a combination of all the diverse methods will give you the best likelihood of keeping water in your soil, but the biggest accepted contributor is increasing the organic content in your soil.
I recently completed a course presented at the Soil for Life facility in Constantia, Cape Town. This Non-Profit organization teaches people how to grow their own food in a sustainable way, starting with creating a healthy soil. The course covers various topics: installing water tanks, composting, worm bins, trench beds, soil health etc.
If you are begrudging every drop of water you use on your vege garden, think about attending one of the monthly courses at Soil for Life to develop strategies to reduce evaporation, use water minimally, increase soil health and possibly like me, redesign your vege garden completely! Thank you to the Soil for Life team for a wonderful learning experience.