You can write it down, but you don't have to keep it if you don't want to. Or write down their descriptions, what they look like, personality, ect. And leave out the parts you don't feel comfortable writing down.

I have an imaginary world I escape too. The people always change but the world doesn't. I never talked to a therapist about it. But I realize that it is my way of feeling safe when I don't. It's also my way of learning about myself. Sometimes tho it interferes with my real life. It's sort of like a utopia, but when I am smashed back into real life ... Not utopia I feel at odds with myself and the world around me. It just makes it hard for me to accept the real world i'm in. So I've tried to back off a bit from my escapism.

I'd write down some stuff, if you are afraid of forgetting. I still remember my imaginary childhood friend tho, but I have a pretty good memory for some stuff.