Please do not dip or dye them blue. They would look odd and completely fake. They will in no way look natrual and will look like you dyed them.
For your weddings you are during a winter blue color scheme? If so, sunflowers just do not fit in with that color scheme. I understand you love sunflowers but you shouldn't force them into your wedding when they really just won't go.
Why not use some hydrangeas and delphinium. They provide great blue color, both light and dark blue.
diiferent ToriJo87 said:
I haven't seen this done. It's an interesting idea. Maybe talk to the florist and see what he or she thinks about whether or not it can be done. If not, what about blue daisies? They can come in different shades of blue and have a similar look to sunflowers. I don't think there is anything wrong with having sunflowers in a winter wedding. However, since they'll be out of season you'll probably end up paying a fortune.