You need check valves installed at each head. There are some spray heads (Rain bird SAMs) that come with check valves installed in the bottom of the heads. You could look into replacement heads that include check valves like these built into them. Otherwise, you need to dig up each head and install some sort of check valve to the line feeding the head. It should be fairly simple if the heads are installed on swing joints or connect to the lateral lines with funny pipe. If the heads are installed directly on the lateral lines, you'll likely have to remove the heads from the laterals and reinstall them with swing joints or funny pipe.