Well, I'm not in therapy now, but I did explain it to her vaguely. I admit that I've always been uneasy about letting anyone into my secret world- even my therapist. And since I've made an effort to pull myself out of it (with some success) I tended to refer to this as something I did in the past and still do sometimes. There is a fuzzy line between freeform fantasizing returning to my persona with a more or less described past.

Oh and Ido do take antidepressants. I have quit a few times and go along fine but end up getting taken down by things that are not really THAT important, so return to the meds.

I bought "The Secret life of Walter Mitty" for my therapist to try to explain it to her, so was amused that you mentioned it (though I suspect it is or should be just short of holy scripture in the group). However, Mitty's fantasies seem mostly ad hoc and mine were pretty much set- open to tweaking, but mostly set).