You are probably basing that idea on this verse. Luke 23:43 (NASB)
And He said to him, "Truly I say to you, today you shall be with Me in Paradise."
Or is it:
And He said to him, "Truly I say to you today, you shall be with Me in Paradise."
Notice how I moved the comma from one place to the next and it changed the entire meaning of the sentence. This is really interesting because ancient languages had no punctuation. So the intended meaning of this verse is somewhat ambiguous.
Also notice 1 Thessalonians 4:13-17:
Brothers, we do not want you to be ignorant about those who fall asleep, or to grieve like the rest of men, who have no hope. We believe that Jesus died and rose again and so we believe that God will bring with Jesus those who have fallen asleep in him. According to the Lord's own word, we tell you that we who are still alive, who are left till the coming of the Lord, will certainly not precede those who have fallen asleep. For the Lord himself will come down from heaven, with a loud command, with the voice of the archangel and with the trumpet call of God, and the dead in Christ will rise first. After that, we who are still alive and are left will be caught up together with them in the clouds to meet the Lord in the air. And so we will be with the Lord forever.
If you actually went to heaven when you died, you would think that death would not be likened to falling asleep. Notice how in the later verses that it mentions God calling the dead up. If the dead are already in heaven, why bother? It wouldn't make sense.
There are more verses on this subject, but I'm feeling lazy right now.