First, they have needle shaped leaves, or completely no leaves. This characteristic can reduce the water loss through evaporation. Meanwhile other leafy plants, they lose more water vapor through their stomata.
Second, they have a thick waxy cuticle around their plant stem. This can also help the cactus reduce its water loss by holding in all the water vapor in the stem.
Last but not least, the thick stem can help hold and store more water, as there won't be much water resource in dry and hot climate.