I have this, have had it for years now. I used to use it for daydreaming about negative things while I was depressed (self-injury and suicide), but now I use it to make up stories inside my head. When I told my therapist about it, she said that as long as it doesn't interfere with my life, and it makes me feel better, then she sees nothing wrong with it. I am glad, because I enjoy it.
I have found that for me, I do my daydreaming best when I'm listening to music, rocking on the couch. By rocking on the couch, I mean that I sit on the couch, and rock the upper part of my body forward and backward while sitting, alternating between coming forward and then hitting the couch with my back again. I have been doing this since I was a kid, and it makes the daydreaming SO much better. I have always listened to music while rocking on the couch, I love it. ^.^