Yes, they are falling. All objects in earth orbit are constantly accelerating towards earth due to the earth’s gravity, which in low earth orbit (LEO) isn’t much less than the 9.8m/s[sup]2[/sup] we experience on the surface. At 400km up, you’re looking at 8.7m/s[sup]2[/sup]. However, as an object in LEO falls towards the earth, it’s also moving sideways. Quite rapidly. And as it moves sideways, the surface of the earth gets further away, because the earth is not flat. If an object in orbit were not subject to earth’s gravity it would instead travel in a straight line. Imagine drawing a straight line next to a circle, and then measuring the “altitude” of points on the line as it moves away from the circle - that altitude increases. But of course objects in LEO are subject to gravity, so their trajectory is continually bent towards the surface of the earth - it’s just never bent towards the surface faster than the surface bends away beneath.
So that’s the basics of why things in orbit don’t fall down, but it doesn’t get into the orbital mechanics of raising and lowering orbits. Orbital mechanics aren’t hard to understand, but they are very, very counter-intuitive if you haven’t grasped how orbits work. To go “down” in an orbit, you actually need to slow down your sideways motion. If you’re not moving sideways as fast, then the surface below you isn’t bending away as fast, while you’re still being accelerated towards it at the same rate. However, just slowing down a bit won’t make your whole orbit lower. As you get lower, you’ll pick up speed (like you’re a marble rolling down a hill), and assuming you didn’t slow down so much that your orbit now intersects the atmosphere, that speed will eventually become enough that you’ll start going back up, and you’ll end up at exactly the same place you were when you slowed down in the first place. If you want your whole orbit to be lower, you need to slow down your sideways motion a second time when you reach the lowest point. To go up you do the opposite - first you increase your sideways motion. This makes the surface curve away from you faster so that your altitude will increase. As your altitude increases, your speed will decrease until you start losing altitude again and you end up exactly where you were when you first sped up. To stay in a higher orbit, you have to increase your sideways speed a second time when you’re at the high point of your orbit.
These pairs of accelerations are called Hohman transfers, and the orbit you’re on in between them is called a transfer orbit. If you watch SpaceX launches, you’ve seen the first half of this when they launch satellites to “geostationary transfer orbits.” First they have the initial low earth orbit insertion - the long initial burn of the second stage. Then they have the “coast phase” which is actually just waiting until the rocket is over the equator. They wait till they’re over the equator because, if you haven’t noticed by now, in orbit you always loop back around to where you were when you made your maneuver. So since these satellites are supposed to end up over the equator, you want to make your maneuver over the equator. Then the second burn of the second stage is picking up a bunch more speed so that the satellite will coast up to the altitude of geostationary orbits (36,000km or so). If nothing further happened, the satellite would then come falling back down to LEO altitude, and then coast back up to GSO altitude, and back down, and back up. What actually happens is that the satellite uses a maneuvering thruster to complete the second half of the Hohman transfer (also called “circularizing” as it turns the more elliptical transfer orbit into a nearly perfect circle). This of course happens long after the SpaceX broadcast ends, and may not be all done at once.
So all that said, why is it easier to get to the sun by initially moving out rather than in? Well, in some cases rather than using a Hohman transfer to raise or lower your orbit it’s more efficient to use something called a bi-elliptical transfer instead. It’s more efficient because when you’re at the high point of a very elliptical orbit you’re moving very slowly, and when you’re moving very slowly you can change your orbit more with less delta-V. So to get to the sun, you’re starting out by increasing your sideways speed relative to the sun so that you’ll gain altitude (relative to the sun now, not earth) and as you gain altitude you’ll slow down till you’re moving much slower than the 30km/s that the earth is. You can then slow down that remaining sideways motion with less effort. And that’s all before considering any planetary fly-bys to do gravitational slingshots.