The proton temperature in the solar wind decreases slower than what is expected from adiabatic prediction, protons need to be heated. The proton thermal energetics is however more complicated because the solar wind protons are only weakly affected by Coulomb collisions and, consequently, proton parallel and perpendicular temperatures (with respect to the ambient magnetic field) need to be treated separately. Using Helios in situ observations between 0.3 and 1 AU proton parallel and perpendicular heating rates are estimated. Helios observations indicate that protons need to be heated in the perpendicular direction whereas in the parallel direction protons need to be cooled at 0.3 AU with a cooling rate comparable to the corresponding perpendicular heating rate; between 0.3 and 1 AU the required cooling rate decreases until a transition to heating occurs: by 1 AU the protons require parallel heating, with a heating rate comparable to that required to sustain the perpendicular temperature. The estimated heating and cooling rates are compared with estimations of the turbulent energy cascade rate at 1 AU and with results of numerical simulations of proton kinetic effects in the expanding solar wind.