I'd be curious if anybody else does/did this.
When I was younger, at school, I was bullied a lot and very unhappy at home too. I would escape into my imagination and became really good at it. When I was really young, probably aged 8 until about 12, I would imagine I was an animal. I guess I was an age where I could still imagine animals being able to speak.etc. I'd usually be a racoon (we don't have raccoons in the UK and I've always thought they were amazing; I accept they may be horrible if you have to deal with them). I'd decide on what was happening in my racoon-world and I'd live it out in my head. Nothing sexual, I didn't grow up to be furry or anything.
I'm male. From age 13 onwards, I'd always "play" a woman. Usually aged about 20. She had a name that changed a few times over the years but was mostly constant. I'd leave school and as I was walking home I'd be excited thinking about what scenarios I would be in once I got to my room. Again, nothing sexual, just really intense day dreams about working in a shop and talking to people or being a teacher or the president's PA or something to do with a film or news story I'd seen. I'd just lie on my bed imagining for hours. It was how I'd get to sleep too, if I was left with my own thoughts they'd just spiral into panic, by pretending to be her I could relax and get to sleep. I guess it was an escape and as far from myself as I could imagine.
The older I got, and the further away I got from that part of my life, I became more comfortable with myself and now, aged 28, I still do that. I "act" in my head all the time, especially lying in bed, but now I can be me sometimes. It's quite liberating but sometimes feels a bit unnatural. I'll put myself in film-scenarios, things in the news, things that could potentially happen, dull situations, whatever. I really enjoy acting these out. I guess that is normal but I am curious about the female/animal bit!