Yes, all the time. Prior to typing this, I've had a little voice in my head going over the words a few times and re-arranging them, so they make sense to others. Sometimes, the conversations accidentally come out of my mouth and I have to pretend I'm just coughing.
Last night, my daughter came into my room (when she should have been sound asleep) and told me that she had just won a game of snakes and ladders. She had been playing with 2 friends (who weren't there), with their voices speaking to her, in her head. She knows they weren't there and the voices were her own imagination, so I'm not concerned.
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"We act as though comfort and luxury were the chief requirements of life, when all we need to make us really happy is something to be enthusiatic about." Charles Kingsley