It's because the movements you are asking about are such a small fraction of the distance from the Earth to the Sun that it doesn't make much difference, and the difference it does make is totally overwhelmed by local effects.
The Earth's atmosphere is an excellent insulator, and sunlight that falls on the planet is kept in by it. Because we have an atmosphere, our planet avoids the huge temperature swings experienced by other planets in our solar system.
Space itself is very cold, because the Sun's radiation passes right through and is not absorbed or retained in any way. However, if you got truly close to the Sun, you would be bombarded by so much radiation that you would indeed get very hot, at least on the side of you (or of your spaceship) that was facing toward the Sun.