I believe they sometimes do, especially when they are in the thick of creating one. Good writers transport us to these imaginary places on the page, as if we're actually there.
Yes, I do. Writers have to imagine places in their heads so they can write a book efficiently (that is, if they have to conjure an entirely fictional place for the story). And I do believe for a fact that not only writers live in an imaginary world, but the readers too. Reading is like traveling for free, but the only difference between traveling irl and in books is that it can take you to fictional places too.
...but writers have to keep their bounds on reality too, effective characters is bounded by the reality of human actions, emotions and understanding in which readers can relate with...GRR Martin created his plot on an imaginary world but with very real characters...people who feels, people who thinks and people who is not always perfect... ...writers then must know how to explore the limitless possibilities of imagination while knowing the bounds of reality...
..imagine a world without books..we can not..for books are the very heart of imagination..