* The Sun IS in the Milky Way: Our Sun is not "outside" the Milky Way galaxy. It's a star within it, located on one of the spiral arms called the Orion Arm.
* Distance Within the Galaxy: We can talk about the Sun's distance from the galactic center. It's about 26,000 light-years from the center of the Milky Way.
* "Milky Way" can be Ambiguous: Sometimes "Milky Way" is used to refer to just the band of light we see in the sky, which is the plane of our galaxy. In this case, the Sun is not far away, as it lies within that plane.
So, it depends on what you mean by "the Milky Way"!