Question... if you had a friend you liked a lot, but if people knew about them they'd take your friend away and kill them, would telling people about them be a good thing? I understand that friends, even imaginary ones, come and go, but there's nothing to be worried about if you have one. Well... there is one thing to be worried about. I haven't met anyone yet who doesn't find killing imaginary friends to be a bad thing. So to slightly parrot Mich's status quo statement:
I think you shouldn't talk to Theodore out loud in front of a lot of people (i.e. your parents). They might thing there's something wrong if you do, or that you can't tell what's real and what's not. They'll probably tell you to stop, as you challenge their own notions of stability. They might be bothered enough to prompt them to hurt you, or your friend as a consequence. Do try to make other friends, but remember that unlike real friends, imaginary friends won't leave you unless you want them to do so. I still haven't figured out the ethics of leaving an imaginary friend for a real one: on one hand we can only divide our attention so many ways, only so many hours in the day, and you can't bum a ride downtown from your imaginary friend. On the other hand, unlike real friends, imaginary friends depend on you for their pseudo existence entirely. (Unless you can find someone to help you imagine them--group stories rock!)
Best thing I ever did for my imaginary friends? (according to them) Made myself a sanctuary in my head, meditation style. For me a vast plain ending in a giant green gnarled tree leaning over seaside cliffs. In such a mental retreat I can fuly interact with them without worrying about upsetting other people who do not appreciate incongruity, and with the ability to be myself in there as well.
No, I don't think you're a freak. Having such a friend is rare, but it doesn't mean you are messed up. If you do feel embarassed about it, or worried about getting alienated for it, then just remember that only you can "see" them. Nobody else needs to know. Just think of it like a mental exercise: your mind probably just needs to see yourself from a more objective point of view for some reason, from a friend's perspective.