I don't have entire conversations in my head, but only because I have no idea what the other person's side of it would be like. But I do plan out everything I'm going to say, as much as I can since I don't know exactly what's going to happen or how things are going to go.
What I do do, though, is plan in my head, everything I think is going to happen, pretty much step by step. Even though things rarely happen the same way in real life as I've planned them to go in my head, just doing it gives me a little of the courage I need to actually go wherever it is I need to go or talk to whomever it is I need to talk to.
I basically just have t pretend that I have as much control over the situation as possible, even if I actually have none.