Fictional creatures? Quite often, very often in fact.
But fictional characters? That's a huge no-no for me. This ties into a LOT of my larger issues with sex actually, so it's an interesting topic. If I ever, EVER, catch myself having fantasies about fictional characters that mean something to me, I fly into a rage. It's not uncommon for me to strike or otherwise hurt myself to get myself to stop thinking that. Fictional stories harbor a lot of meaning for me and to sexualize them feels like the ultimate perversion.