here in my location willfully fantasizing and making up characters in ones head is called fantasy play, imaginary friends, roll paying, visualization, and many other things too. here in america we have many schools and classes that teach a person how to do this.. there is even a therapy technique that teaches a person how to use roll playing, fantasizing, visualizing to learn how to handle ones problems.

my point it may not seem very cool to you when its out of control but I know some people who are paying lots of money just to learn how to do what you are doing.

your question how do you escape from this...

there are many ways you can learn how to control your fantasizing\ creating your imaginary friends (or in your words characters)

check out your nearest school\ colleges drama department
check out some books at your library or online under the heading of learning how to control ones imagination/ fantasies, imaginary friends,
talk with your treatment provider. treatment providers work with all kinds of problems even those where children and adults have imaginary friends.