I have this exact same behavior. I've been doing just what you describe since I was five years old (I'm now almost fifty) This behavior is called Maladaptive Daydreaming. It's a little understood condition that causes obsessive daydreaming. Take a look at these articles:
Excessive daydreaming: A case history and discussion of mind wandering and high fantasy proneness
http://www.maytal.co.il/articles/2002Malaptdaydr.contemp.psych.pdf
If the people in the articles sounds like you, that may be your problem. People who have it will also sometimes compare it to an addiction, and say that they can't stop.
Does it interfer with your life? I think that it has done a lot to stop me from having a real life.
Excessive daydreaming: A case history and discussion of mind wandering and high fantasy proneness
http://www.maytal.co.il/articles/2002Malaptdaydr.contemp.psych.pdf
If the people in the articles sounds like you, that may be your problem. People who have it will also sometimes compare it to an addiction, and say that they can't stop.
Does it interfer with your life? I think that it has done a lot to stop me from having a real life.