I do this!
I'm not in the fantasies anymore, though - not since I was a child with 17 invisible children (I never had an imaginary friend, just invisible children) - there were a set of quads, quintuplets and twins in there, and somehow I had two children called Zack, but I think they were spelt Zach and Zak, so that was obviously okay!
I write a lot, and so usually I'm just talking through future scenes in my head, most of them several times to make sure I don't forget them before I get to write them down.
These days, I have more ideas and more "people in my head" than I have time to write seriously about, so I either just write down snatches of "story" about them, or even just names and ages and dates so I don't forget them. Currently the most active in my head are:
Anna, the woman who started off as a teenager in an abusive relationship - she's now married (not to the abusive guy) with five children. I also know what happened to her three younger siblings, and the story seems to be hovering around the point where her eldest gets married/her youngest brother discovers he has a four-year-old daughter (I jump back and forwards in time, but haven't got past that point yet).
Then there's Sadie, the woman who's fostering her niece and nephew, who at some point lives next door to the family above. She ranges in age from about 12 to 30, but mostly at the moment I get the early bits when she fosters her Bess and Benjamin.
Then there's the blended family with fourteen children. (Jack and Elle, and Josiah, Daisy, Jasmine, Jimmy, Tommy, Henry, Callie, Carlton, Joshua, Jordan, Alice, Jess, Alexander and Benji). They're a bit of a logistical nightmare - six of them are in the same school year.
One group of people who've been noticeably absent from my head recently are the foster family - she's called Caitlin and he's called Ethan and Elliot interchangeably because I called him one, forgot I had, made up a new name, and then remembered the old name. I've talked (mostly in my head, although sometimes out loud if no one else's around) through them foster three teenage boys successively, then "their" son and daughter, whom they later adopt, then Samuel (my favourite - now with his lovely dad, step-mum and baby sister), Jackie (either adopted by relatives in Australia or back with dad, again, two alternate versions which were created when I forgot the first one and then remembered it again) and then Boaz and Brooklyn, who they appear to be hovering at the point of adopting too, whilst also emergency fostering, first Jessica whilst her single mum was in hospital, then Corey (who later gets fostered by Anna from up ^ there's brother Will), and then Seb, who created a whole spin-off based on his adoptive parents.
And that was probably far more detail than anyone ever wanted, and I haven't even got started on my Harry Potter Fan Fic cast of thousands, nor the two great stories I started and then got bogged down with the sequels...