There are a couple of problems with this suggestion. The first is, have you ever read any fan-fiction? Often, the reason these fantasies are so engaging to authors is the same reason they would rather off-putting to others. They're generally self-insert fantasies or power fantasies or wish-fulfillment fantasies.

The other problem is that writing often interrupts the fantasy. The flow in one's head is often very different than the flow of a book and that translation process often takes effort, especially if one is prone to revising the fantasy as one goes along. Worse, once a fantasy is done, one might be able to go back and retrieve it. Creative writing and fantasizing are really different 'skills.'