Hmm...good question.
I don't think we go to Heaven straight away when we die. I think our spirits kind of hang around (doing what, I have no idea) and that we are not really 'concious' then.
But then I think at the second coming of Christ we will all be 'resurrected' and the whole judgement day thing like it says in the bible and we will go to 'Heaven' then.

But then, maybe we are concious in that spirit part, coz there are psychic people who talk to these spirits and they talk like they are concious and have all the memories from their life. But then again the bible says we're not supposed to trust that kind of thing, lol.

Wow, I don't know if I made any sense in that last part.