Well, I do think your emotional and sexual feelings are running rampant over your common sense.

Since you did come from a conservative family who believed in sex AFTER marriage (I did too) your "dreams" don't fall into place. And as you also said, it sure wouldn't make sense to marry just for the sexual aspect. That would be disastrous.
Are you in therapy now? Forgive me for not remembering. If you are, please talk to your therapist about this. You can certainly talk to your therapist about ANYTHING -- he/she will understand. I'm sure you won't be the first to have these "dreams."
If you think there IS a chance of a relationship between the two of you, play it very very slow. Get to know each other better. You say he's a close friend, but perhaps you still need to get to know each other even more. I wish you the very best. God bless and please take care. Hugs, Lee