Here are my thoughts (subject to correction or improvement by others):
Acquire the device as anonymously as possible, to avoid linking the IMEI to your real identity
Go to a location without cellular coverage, to avoid the IMEI being linked to a location. However, you will need internet access for the installer device. Maybe a basement, concrete bunker, Faraday cage, etc.
If you don't have a location without cellular coverage where you could install, the next best would be a location far from where you live, work, or spend significant time - ideally where lots of other people are around. The IMEI will be known to have been at this location, but if neither the IMEI nor the location can be linked to you, then that should be OK. Try to avoid having some other device with you that will reveal your presence at this location.
In the case that the IMEI is linked to your identity, then i would further advise to keep the phone in Airplane Mode at all times when using it.
Do not insert a SIM, especially not a SIM tied to your real identity.
Turn on the phone. Do not connect to any wireless networks. Get through the setup screens.
Follow the GrapheneOS installation instructions
When you boot the phone after installing, immediately turn on Airplane mode (before leaving the location where you did the install).