Are planets moving away from the sun? I saw on the tv show Through the Wormhole (hosted by Morgan Freeman) that the planets in our solar system have been continuously moving away from the sun for millions of years. however, when I try to Google about it, there isn't much written about it. 

Is it a proven fact that the planets are moving away from the sun?
I asked a somewhat similar question but just about the Earth.  Here and in my question there's some links that you might be interested in.   Jupiter for example is thought to have moved closer to the sun during the late heavy bombardment, then back outwards.   So I suspect that through the wormhole didn't get that point quite right.   Observations by the Kepler Spacecraft in the hunt for exoplanets suggests that a number of planets in other solar systems have moved closer to their suns over time.

In general, there's a few parts to this question.

On the sun losing mass:

Yes, it is, but only a little bit.  See Here.  Their math isn't complete as they don't factor in coronal mass ejections or take into account the sun's expected increase in luminosity, but the gist of their point remains true.   The sun is only losing a tiny percentage of it's mass.  The effect on planetary orbits is pretty small.

Sunlight also creates a pressure against the planets, but this effect, isn't very much due to the comparatively enormous mass of the planets compared to the light and coronal mass ejection material that hits the planet.

Tides

Tidal effects can work either way depending on the rate of rotation compared to the planet's orbital rotation.  If the star turns ahead of the planet, the tidal force should push the planet slowly outwards, like the Earth is currently doing to the Moon.   If the planet moves around the star faster than the star turns, the tidal effect is reversed and it slowly pulls the planet in.  At our Sun's current rate of rotation it's moving ahead of all the planets, so there should be a small tidal force that pushes the planets outwards, but very very slowly.

Orbital debris and effective loss of angular momentum during planet formation.

If the orbit is littered with dust and comets, asteroids and such, the sun can gain mass faster than it loses it and the planets can effectively slow down as they move through the dust or orbital debris with more oblique orbits.   This may be the explanation for hot Jupiters and so many observed planets very close to their suns in other solar systems.  

Planets can affect each other.

See here and a curious possibility here.   Planet to planet effects are tiny unless they are in resonance where the effect can be amplified and become significant over time.  

Hope that's clear enough.  I can tidy up and provide additional links for reference if needed.