You are not alone, I have full fledged conversations with people in my head all the time. I've always considered it a symptom of my anxiety, since it gets worse when I am anxious. When I was younger it just seemed like a form of daydreaming.

The downside to this habit is when I have conversations with people in my head, for example with my new doctor, in my mind we have covered anything I want to discuss but when I speak to him in person, I am caught off guard by what he says, since that is not at all the way the conversation went in my mind!