Some fantasies should never be turned into reality, however much fun they may seem. Equally, one should never be afraid of a fantasy. Tell each other the story, no matter how bizarre or extreme. Just keep things you act out safe.
I've always liked comics, right from an early age. Captioned images is the adult equivalent. I find that creating these captions on images I find interesting, helps me relax. Yes, it's escapism. It seems that only a lucky few live the fantasy. I think we all want to escape to a better place, and we all have our ways of getting there.