I kind of do something similar, sometimes with fictional characters, sometimes with people I care for in real life that I can't have. They don't become my imaginary friends, instead I create entire storylines and lives in my head based off of them, sometimes combining quite a few of the characters and people, or all of them, into a wildly fantastic life that I would love to have. I fantasize about this, and I have always been prone to daydreaming. I keep these "other lives" in my head only, and use them as a sort of escape from reality. It's like they're real in a way, and when I get bored of the way one is going, I change it or get rid of it completely. It's like I have two or more lives going on at the same time. The one is going on in my head and the other in real life, or sometimes many going on in my head. I don't think it's an illness, just a creative, active imagination. Although no one ever said I was always completely based in this reality. So I don't know. But don't feel alone.