Dear OP,
maybe it’s just me, but this raises red flags for me – probably just because of my history. I used to live in my imagination a lot. I had friends, got married, etc, but preferred the company of my imaginary friends. It took over my life . . .I would be having a conversation with someone, and they would seem so boring, when I could be talking to someone interesting that I invented, that I would zone out.
I was delivered after several years, by the grace of God. It was hard to come back to reality, but I did it.
You are actually never alone. We are all surrounded by a cloud of witnesses, our guardian angels, the saints, and our Lord. I would suggest you consider choosing a patron saint and develop a relationship with that person. Talk to him or her as a friend. I like talking to St Joseph, or St Monica or St Philomena. Or talk to your guardian angel.
My fear is that the enemy could insinuate himself into your fantasies and draw you away from God through them.
There is a wonderful article about our guardian angel
here.