Rough calculation get's me a dyson sphere big enough to bring the black body radiation of the sun down to ~4k being hundreds of times the orbit of pluto. At that point it's actually an interesting question of where you get all the mass for the nesting shells.

R_sol^2T_sun^4 = R_shell^2T_cmb^4 (R_sol^2*(T_sun/T_cmb)^4)^(1/2) ~= 2 light months.