Is it normal when i'm alone i go into a "fantasy world"

My gosh, where do I begin?

I guess it began when I was about 8 or 9, when I started going into the "pokemon phase" . I really liked the characters "Team Rocket" and I began to create stories in my head about their adventures. At first it was like I was dreaming up my own pokemon episodes, then it started to move toward real life situations, without pokemon, and will more realistic, not cartoon, people. I was about 12 when I started to include myself in these... I'll call them stories.

Well, I grew out of pokemon and started introducing characters into my stories like random people my age you might see walking down the street. One of the first was Tiffany. She had (has?) long curly blond hair and brown eyes. we were best friends. At 13 I was finding it hard to concentrate on my stories and one day put some music on (I was often home alone) and blasted it. Then I drowned out everything and entered the world in my head. I think I imagined life with Tiffany and (later characters) Bryan, Katrina and Stacy for about 2 hours. And it was amazing! Every chance I got I blasted music and played out my stories. I began acting them out too, like if we were going shopping, pointing out things in a store or sitting on the edge of a pool sunbathing. Kind of like Charades.

I was 16 when I introduced the characters that are still in my life. My boyfriend, Jace, has long black emo hair and electric green eyes. My best friend, Trinity, with almost white blond hair going to about her shoulders and blue eyes. And my enemy, Mason, has blond hair with a buzz cut and hazel eyes. Jace is a HUGE character. Sometimes he is not my boyfriend, but my best friend. And sometimes Trinity is my girlfriend (Yes, bisexually). And I have gone through life with them. Some of my best memories are sitting by Jace's pool in the summer and shopping with Trinity. And life was great with them until about 4 months ago, on my 19th birthday when I was sitting on my bed and I wished Jace had been at the party. Then I started thinking, and it came to me like a punch in the gut, Jace isn't REAL.

I was almost panicky, partly because of the realization that Jace is fictional but mostly because I was shocked that I was shocked about that fact. Ever since then I have still frequently entered my stories but for the first time in years wondered if this is normal. Or is my mental health okay? Is it crazy that sometimes I enter a completely different world and forget that the life I'm living even exists? And don't get me wrong, I have had a totally normal life so far. Loving parents, decent friends, awesome dog, no bullying, no abuse and not even a loved one dying. Maybe I am craving attention or adventure but sometimes I feel I need therapy. Please help or give some therapeutic advice, not just reassuring that everything is going to be okay.