By that I mean I sometimes make references to the fact that I'm daydreaming. A select group of my characters know they're imaginary and make jokes about it. For example, if I tell them to stop acting immature, then they'll respond with "Says the girl who still has 50 billion imaginary friends!"
I never mix daydreams with the real world - there is no connection. When I read your post I thought I'll try, but for me it is not possible. I can't talk to my dreamworld, my charakters won't talk to me. I can't even mix the different storylines. MDD is also no topic in my daydreams.
The storyline of my daydreams sometimes continues when I'm not there. Most of my characters don't know they're imaginary (if I told them they would freak out), so I explain my sudden disappearances by telling them that I'm from another dimension and have to return to my other dimension (which is kind of true, in a way).
Most of my daydreams involve the real me in a near future so these days I am daydreaming about sharing with someone or a group of people how I managed to stop daydreaming!