I also spend a LOT of time in a fantasy world, but have also learned to incorporate it into the real world. Like having imaginary friends and bringing them out of my world and into the real world as support. I used to take one person to Uni with me, and another came to work with me; it all depended on my needs.
One interesting thing happened; there was a specific person I used to "daydream" about often and after many years I realized he was an outward projection of myself. He was everything I liked about myself, all of my strengths. Since I realized that, I've been even stronger and haven't needed him anymore, but I still have my world I constantly run to.
It's not that I can't tell what's real from what's not, but I understand that this world IS part of my reality. It might not be part of the reality I share with others, but it's part of who I am. I went through I time when I discouraged myself from going to that world and I didn't feel at all like myself. I became depressed and just remember feeling disconnected and empty. The time I spend in my world actually recharges my batteries and gives me courage and inspiration to do things in the normal world. I think it's because it's not a world where I'm living a life I want, I don't have a second life there. I basically just go there and escape, have peace and quiet, meditate, get in touch with my inner divinity and be the self that I can't show in the real world. That self is soft spoken and sensitive, just like when I was a child.