I’d fantasize about them constantly (e.g. go on adventures with them, insert myself into the stories, etc.). So in that way I did (do) have imaginary friends.
Oh yes, I have done this as soon as I could read!! I've tried to explain to people that I don't read a book, I LIVE it. I am there totally & disconnected from the here & now. "Yes, sorry I never turned up for coffee at Costa but I was busy battling in 1666" excuses.
Open-world games do the same to me, I am totally immersed in that world in preference to the real too (no multiplayer ones for me though). I would never have thought of that as 'imaginary friends' but yes, it's an alternative universe for me & one I can deal with easier as, well, rpg characters have code, not feelings! I do get very attached to some though. Eg. Lily in FALLOUT: New Vegas was a favourite because she was always looking out for 'her little pumpkin' aka me. Lmao. I cried at the end of RRD too & was really mad when they turned John into a zombie & forced me to play it (for the achievements..I never did do the MP aspects though).
Thinking back, as a young child, yes. I actually was Mowgli in Jungle Book, a Waterbaby, a Brumble etc. Even at 8, I was obsessed with the fables that used to be in the backs of Encyclopedia Brittanica. Magic, fairy tales, folklore, Scifi, Tolkien, GOT etc. I still am.
Never would have thought that as imaginary friends but now, as you've explained it, I can see it now. I miss the obvious all the time.