We're already in the sun's gravity well. The hard part is getting any point in your orbit to be close enough to the sun to use it's atmosphere to slow down (or just hit it and disappear, that's the easy part). Our orbital velocity around the sun is 29.8km/s, a low earth orbit would be in the range of 6.9-7.7 km/s depending on altitude and you can't really get anywhere in space without getting off the planet. So even if we ignore everything else you'd still need enough fuel to change your velocity by nearly 40km/s. To carry the extra fuel into orbit you'd need a much bigger rocket and that means more fuel and expenses. In fact I'm pretty sure it takes more fuel to get into a circular low solar orbit than it would take to get to any other planet.