Betsy;
Now is the Perfect time to plant it in some (slightly moist) well-drained potting mix (like Miracle Grow Cactus Mix)
Just bury the cutting 2-3" below the surface, tie a bamboo stake to it & Do NOT Water until you see a little top growth. Give it a Warm location to root... but Not in full Sun.
They're easy to root, so don't fuss with it... The cuttings shrink/wrinkle when dormant... completely normal