Are there any plans to launch a sample return mission to Mars?
Is such mission possible, and what would be approximate max weight of returned sample?
Is it possible to return sample to Earth orbit and retrieve it there and save on thermal shielding on return vehicle?
It is possible and there are several such missions planned or proposed:
And there might be other such planned mission in different project stages. As for possibility to do so, there are many possible ways to go about it, and some such concepts are listed on the Wikipedia on Mars sample return mission - NASA proposals, listing one-launch architecture using Hall effect thruster, two-launches architecture with orbiter and lander with a return stage and I presume Mars Orbit Rendezvous, and three-launches architecture with a sample collecting rover, an orbiter, and a Mars Ascent Vehicle (MAV).
For the last part of your question, if it is possible to capture returned samples in Earth's orbit, I believe that it would be, but likely not needed if you're using two- or even three-launch architecture with a Mars orbiter safely storing returned samples in its body. The sample return capsule also needs not be large and can be built to withstand Earth aerobraking and deploy a parachute once it has sufficiently slowed down its descent on reentry. E.g. sample cache could look something like this:
Prototype for hardware to cache samples of cores drilled from Martian rocks for possible future return to Earth (Source: NASA)
So this is not such a big sample cache that would be held in a return capsule, and can hold 31 samples with each core 0.4 inch (1 centimeter) in diameter. Problem is, you'd still need a spacecraft to deliver the sample capsule to Earth and inject it in reentry trajectory that is shallow enough for the capsule not to disintegrate in the atmosphere, and without constant corrections, that would be nigh impossible to do from Martian orbit. Simply hurling samples off Mars and towards the Earth wouldn't work. Miss by a nanometer at your departure and you won't arrive at your destination where you planned to, either by far missing the Earth or hitting it too direct and your capsule will burn on reentry. And that's assuming your calculations were absolutely precise to start with, with no margin of error to speak of, and no trajectory corrections required.
So if you have a powered vehicle with thrusters onboard delivering the capsule, like your Mars orbiter or in one-launch architecture an all-in-one spacecraft, it's simply easier (and cheaper) to just drop it into a ballistic trajectory from near Earth than to change its orbit to rendezvous with another craft or a space station in Earth's orbit. Especially, since you'd need powerful retrorockets and propellants for them, all adding to total weight of your spacecraft, to slow down to a more circular orbit suitable for rendezvous from what would be a highly elliptical orbit on your return to Earth.
There have been plans to return samples from the surface of Mars for about the past 46 years. There was a project initiated in 1998 to return samples by 2008, but it was cancelled in 2000 due to other Mars mission failures in 1999.
Currently the first part of a Mars Sample Return (MSR) mission is in serious planning, which is a sample caching missing to be launched in 2020. It is not an approved mission yet, but it is well on its way. That first step would collect rock cores and other samples and store them in a can, called the cache, on the rover for later retrieval. This is the closest we've gotten to a "real" MSR project since 2000.
The 2020 mission could be followed by another lander, this time with a rocket to launch the samples into Mars orbit. Then a return orbiter could pick up the samples in Mars orbit, bring them to Earth, and send an entry vehicle in with the samples to land. Those missions being further in the future are in much more nascent stages of planning.
Returning samples from Mars, while difficult and complicated, is certainly possible. One thing that has been relatively consistent over the years is that the sample collected and returned would be on the order of 500 grams of material.
One of the requirements on MSR is to not inadvertently release Martian samples into Earth's environment on entry or landing. The samples have to go through an isolated receiving facility on Earth first and be investigated there before they can be released into Earth's environment for more open use in other laboratories. As a result, the safest approach appears to be direct entry and landing, since that can be done with the simplest, most robust vehicle with large margins. It doesn't even need a parachute. Going into Earth orbit, being retrieved by another vehicle, and then safely entering and landing that vehicle adds more failure modes for inadvertent entry and breakup.
The whole point is to get the samples into Earth laboratories, so sooner or later they have to enter and land.
