I do this all the time, too.
I have conversations mostly with people I know or have seen, and it takes place in places I have been; like on the bus.
When I am thinking out, say, a theory of 'something', I imagine talking to another person about the theory, and the other person is retorting what I say to challenge the theory, but the retorts are _my_ retorts, so it's like I'm having a discussion with myself, but with someone else.
I also go through conversations with someone I'm actually gonna meet, to prepare something to say when we do meet.
Right now I am having a conversation with imaginary participants of this thread, sitting on chairs in a circle on the floor of a classroom. What I wrote in this reply, and what I am writing in this reply right now, is something I told the imaginary 'you' before I wrote it. You're all laughing at this right now.
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"I, a universe of atoms, an atom in the universe." - Richard P. Feynman.