I never did, but I was a girl; so I had dolls; and I (sort of) "saw" them (imagined them) as so real, I think they were kind of another version of "imaginary friends" (although there really wasn't one special one). I didn't really see them as friends, though. I saw them as my children.
When I got past the baby-/child-doll stage Barbie (lots of them, and some of her friends); and my girlfriend and I would "live out" our imagined future as grown "girls" but not really seeing the dolls as us - just having the dolls "live out" scenarios/careers/social events, etc.
Once I outgrew Barbie's (at least as far as actually playing with them went - I still love the collector-type dolls) my "imagining" was limited to whatever I imagined I'd be able to do when I got, say, another two or three years older.
Basically, I have grown to be someone with very little imagination (seriously - but I really don't have much of an imagination, other than a tendency to imagine things to worry about when it comes to my children's health/safety. (lol )
The reason I mention what I think of as "my version of imaginary friends" is that I've written on the subject of imaginary friends and know that it's normal in children up to a certain age. I know, too, that not all kids have them.
Ages four to six can be ages when children dabble in fantasy, and part of that can be "sort of confusing - but not really confusing" what is real with what isn't. I'm not so sure that some imaginary friends don't get their start when a little kid dabbles in something they know isn't really, has parents start to grill him on "lying" (or at least question him on his story), and whips up a handy, imaginary, friend as part of entertaining adults). It's not for me to say, but I can't help wonder if SOME imaginary friends aren't as "real" to some children as SOME adults think they are.