That sounds like you might be about to sleep! XD But I can understand how that is also daydreaming.

I do that as I'm sleeping, also.

For daydreaming, for me, though, I just kind of think of something and keep going whenever and wherever...'orz

@Alchemic Mushroom:

I thought I was the only one.
Usually, people daydream while sitting, or standing.
Maybe it's easier for us to daydream while lying down with our eyes closed because it's close to actually dreaming.
There have been times where I have been deep in thought,
and my thoughts sorta turned into real dreams, um, if that makes sense.

I can absolutely relate to this. I do the same thing when thinking of stories, but its hard for me not to fall asleep!