MD80 FLIGHT CREW REPORTS ENCOUNTERING THUNDERSTORM AND HAIL AFTER ACCEPTING HEADING FROM DEPARTURE TO AVOID WEATHER.

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THE RIDE ON CLBOUT WAS GOOD WITH LIGHT CHOP AND NO PRECIP. DEP CTL APPROVED DEVS FOR WX AND WE EASILY AVOIDED THE PRECIP INDICATED ON RADAR. WE WERE FLYING W AT THE RECOMMENDED SPD FOR TURB PENETRATION WITH ANTI-ICE ON. CLBING THROUGH ABOUT 15000 FT; DEP ASKED US TO TAKE A HDG TOWARD THE SE (ABOUT A 130 DEG HDG). HE INDICATED THAT HDG WOULD KEEP US CLEAR OF WX AND; I ASSUME; EXPEDITE THE HDOF TO CTR. I ALSO ASSUMED HIS RADAR WAS GIVING HIM A BETTER BIRD'S EYE VIEW OF THE WX THAN WE HAD. AT THAT POINT; THE HDG HE GAVE US WAS OVER OUR L SHOULDER AND COULD NOT BE SEEN BY OUR RADAR. WHILE TURNING; IT BECAME APPARENT THAT IT WAS TAKING US INTO A HAZARDOUS WX SITUATION. WE REQUESTED A RETURN TO OUR PREVIOUS WESTERLY HDG AND DEP GAVE US A FREQ CHANGE TO ARTCC. BY THE TIME OUR REQUEST WAS APPROVED; AND THE TURN COMPLETED; WE HAD PENETRATED AN AREA OF HVY RAIN WITH HAIL AND MODERATE TURB WHICH LASTED FOR APPROX 1 OR 2 MINS. AS A RESULT; THE ACFT RECEIVED HAIL DAMAGE TO THE NOSE AND LEADING EDGES OF THE WINGS. UPON ARR; MAINT WAS NOTIFIED OF THE NEED FOR AN INSPECTION. LATER REVIEW OF OUR GND TRACK WITH A RADAR OVERLAY SHOWED THAT IT WAS VERY LIKELY THAT HAD WE NOT TAKEN THE ACTION TO TURN; WE WOULD HAVE ENCOUNTERED MORE SEVERE WX THAN WE DID. I WILL PROBABLY DISREGARD ANY FUTURE RECOMMENDATIONS FROM CTLRS UNLESS I HAVE ACTUAL KNOWLEDGE THAT SUCH A HDG WILL NOT PUT US IN WX LIKE THAT AGAIN. SUPPLEMENTAL INFO FROM ACN 812245: ACCEPTED A RECOMMENDED HDG FROM ATC TO AVOID WX AND ENCOUNTERED HAIL IN THE PROCESS. ACFT RADOME AND SLAT DAMAGE ENCOUNTERED. NO INJURY TO PAX OR CREW. REMAINDER OF FLT UNEVENTFUL.