Hey Kojote! Welcome to psychcentral.
You're not alone, I experience this to. I make up stories of who I'd like to be and what I'd like to do in my head. And yes, I been so wrapped up in daydreams that I've done and said things I have no recollection of.
Aging and mental health treatment helped me. Some daydreaming is normal and healthy, but it kind of interfered with functioning in daily life (I am a social person, but you can't chat with your friends when you've got this constant dialogue in your head, right? )
It's just a coping mechanism, once I learned to cope in this here real world, it subsided.