I’m 34, and I do that, too. So if it’s childish, you’re at least not alone. ;-)
I call it “daydreaming” instead of fantasizing, but I think that’s what you mean. Usually it’s to entertain myself when I’m otherwise bored. Generally my daydreams are about stuff like the future, what my day-to-day life would be like if I was married, etc. Sometimes it’s about silly things, like being able to fly (wouldn’t that just be sweet?) that probably do actually have an element of childishness to them.
Sometimes I “play back” scenes from a novel I’ve recently read, in full-on identity with one of the characters.
But sometimes I also fantasize in a negative/pessimistic way, e.g. my boss being mad at me, catching my gf cheating, getting injured while snowboarding.. That’s not very entertaining at all, but I think (hope) that it’s a semi-healthy way of preparing myself for “what if” scenarios where the worst has happened..
A similar thing I occasionally do is that when I’m people-watching somewhere, I will pick a specific person and try to really imagine what their life is like, what their background is, whether they’re in a romantic relationship and, if so, what it’s like, etc. I guess that’s some kind of “other-directed daydreaming”, or something like that.. :)