Everyone has sexual fantasies. (You didn't think you were the only one, did you?) If you are willing to follow, they will lead you right to the part of you that is seeking your own loving awareness. Every time. That's why they're "hot" - they are trying to get your attention!
Acting them out in the real world is not helpful - even if you get something close to what you want. At best, it doesn't meet your real need, so you end up confused and frustrated. At worst, it becomes hurtful to you or someone else.
When using fantasy with your friends, always begin by talking about what, exactly, is the "heat" in your story. No need to analyze it; simply try to get to the heart of it. Then create the characters, and see where they lead you! Throughout, remember to pay attention to what you are feeling and what you need. Though the story can take surprising turns, be sure to stick to the agreements and boundaries you have set. This creates the safety for you to truly let go and play.
The characters allow hidden parts of you to be seen and experienced, which brings insight and empowerment. Some fantasies involve actual life experiences that you would like to re-live with a different outcome, or with power you didn't have at the time. Some take on things you would never do in real life, for very good reasons, but which still have something to teach you. Some fantasies tap into archetypes like the queen or the captive, and lead to profound insights about life. Some are just for fun - and some characters ask to come back and play again!
Does this mean that if you "work through" all your fantasies, you won't have any more really good hot ones to play with? Not at all! It means that they deliver their gifts and become part of your play repertoire. And don't worry. All indications are that there is an endless supply!
Fantasy can be a great way to play with a trusted lover or friend, as long as you are both clear about your intentions and your boundaries. Remember to talk thoroughly about what you are seeking, agree on the story line, and have clear signals for time-out or quitting. Then let your characters play! It's important to come back later and talk about what you learned, and clear up any questions.