Both em and WW are right. Day dreaming is definitely a coping mechanism AND it is dissociating. The comforting thing (I think) is that most if not all people dissociate from time to time.

I think Angela gave the example of driving somewhere and arriving at your destination and remembering NOTHING of the drive. That's dissociating.

Dissociation is a problem when it stops you from doing daily activities. So, as long as your day dreaming isn't keeping you from living your life the way you want. I say, day dream on!