That's exactly NASA's plan for 2018. The Solar Probe Plus is a car sized probe that has a carbon-fiber heat shield that can withstand temperatures of 2,500 degrees F. This will take it to about 4 million miles from the Sun's surface...the closest we have ever been.
The mission will help scientists better understand solar radiation. Improved solar storm forecasts could protect future long-distance space explorers who would not be protected by Earth’s magnetic field. Another science mission will use a wide-field camera to take 3-D pictures of the solar wind as the spacecraft flies through it. Another will take direct measurements of the sun’s magnetic fields, radio emissions and shock waves, and the one more will take an inventory of the sun’s contents. NASA’s goals are to figure out why the sun’s corona is several hundred times hotter than the surface and why it produces an accelerating solar wind.via popsci