There are three ways to transfer heat: conduction, convection and radiation.  The vacuum of space prevents conduction (which requires a solid or fluid) and convection (which requires a fluid).  It does not prevent radiative heat transfer though.  The Earth receives it's heat from the Sun by radiation, some of which is then transferred by conduction and convection to the atmosphere.  The atmosphere also picks up heat directly from radiation.  You can feel heat directly from the Sun on a sunny day.

Astronauts and spacecraft have a big problem with heat, since there is no atmosphere to disperse and absorb the sunlight.  They bake in unfiltered solar radiation, at over 200°C.  Then, in the shadow of the Earth or Moon, they freeze at below -150°C because there is no atmosphere to trap the heat.  Once they are out of the sunlight, the temperature drops in seconds as the equipment radiates its heat away.

In theory, you would need to be infinitely far away from the sun to not feel any heat from it.  In practice, you would need to be about 12 times the distance between the Earth and Sun to not notice the sun's heat.  That's about 1.8 million kilometers, which is actually somewhere between Saturn and Uranus.  So if you're at least as close to the Sun as Saturn is, you'll feel heat from it.  If you're further out than Saturn, you've been abducted by aliens and solar heat is the least of your worries.

Though the previous answer gave a good explanation, I think it didn't answer the question asked.

Firstly, sun rays would have ultraviolet and other harmful rays, which would be very harmful to the skin if there were any direct exposure. Solar winds would also exist. 

However, let us assume, you are not affected by these harmful radiation, and do infact get heated up by the entire spectrum of incident light.

If you are in orbit facing the sun, one side of your body would get heated up unbearably, and the other side would get chilled down. This difference is significant when we do not have an atmosphere around us, and temperatures can drop or rise very quickly. To negate this, let us assume that you are spinning around at a fairly fast rate so that the temperature on either side of your body is the same. 

Suppose you were at orbit at near about the distance of the earth/moon. If you were, this would give you the temperature of a rapidly spinning moon.

If you were full of rocks, and have the same radiative coefficient, then you would have the temperature of a rapidly spinning moon. The moon's mean temperature is 220K or minus 53C . (Even though its diurnal range is 100 to 390 K). 

This would be too cold for your comfort. So even the moon would have to go closer to the sun to be at body temperature.

I think the moon has a high emissivity coefficient. You can check values of the minerals it contains with http://www.engineeringtoolbox.com/emissivity-coefficients-d_447.html site. If the human body has a lower emissivity coefficient, it will need to go even closer to the sun. As absorption proportional to emissivity coefficient.

Its tough to calculate a value. Hopefully this distance will come before we reach venus. You could check the mean temperature of a comet at different distances from the sun, and it will give you an approximate idea of what distance you would require. 

Final year student, Indian Institute of Technology, Kharagpur