When I was a child and into my teenage years up until the time I was about 16, I was completely immersed in a fantasy world as well. I honestly can't see the harm in this, as long as you know where fantasy ends and reality begins. In my opinion, it's one of the least harmful coping mechanisms. However, it eventually made me feel like reality wasn't worth living at all, and I began closing myself in and not making any progress in my real life. I was so disappointed in the actual people around me because they didn't live up to my fantasy world. I would say that you should remind yourself regularly that there is a reality you have to live in as well.