I have this. With me its a problem because the daydreams can turn into day-nightmares too and I can be thinking about things I dont want to manifest. Recently I have been realising that there are beliefs attached to every movie in my mind and the more I dismantle these beliefs (I've been using the Byron Katie method (
www.thework.com )) the less they bother me. Sometimes my thoughts can be too out there to and reflect arrogant beliefs about myself.
Maybe your avoiding reality for some reason too. Try to be aware of what goes thrugh your mind before you start to daydream. It could lead to some insight.
Btw, talking out loud when you think is quite common. No one really talks about it obviously but a lot of creative people do this.