I understand that eventually lead would melt when it nears the sun. In a liquid state how effective would lead be in blocking radiation? Would it still be as effective as solid state of lead? What about lead in a gas state?
All that really matters is the column density of the lead - how much mass per unit area you have. What this means is that if you change the state or density of lead then so long as you arrange it so that $\rho x$ is the same, where $x$ is the path traversed by the radiation, then the absorption due to the lead will be the same.
Everything might change if you ionise the lead, but not if you merely change it into an atomic gas.