I do this frequently, especially when I am seriously bored. It is like the dream you have at night, but you are awake and in control of the dream at all times. You can carry on with your daily tasks, talk to people etc., and the take it off hold and go back to it. Great for long car rides!!
I don't feel like it's the same as the dreams I have when sleeping, but my mind goes on extended adventures all the time, sometimes becoming extremely clear while I'm able to keep walking around like normal. Overactive imagination for the win! Nothing like going through my work day while imagining epic fantasy tales or sci-fi adventures.