I just want some advice on this situation.?

I always daydream, when I get out of school I go straight to my room and just sit on my bed and daydream. I have been doing that for about 4 years since I moved away from my family in California. It is just my way to get away from how sad I feel without my family, my dreams always make me feel happier. So i've built a fantasy life in my head, my fantastics aren't filled with mystical creatures and stuff like that they are mostly about me and this group I absolutely love called Mindless Behavior. In my dreams I'm going out with one of them and i'm like best friends with the rest of them. They are about me basically about me living my life with them with whatever they are doing at the time in real life. My dreams weren't always about them they have been about different people before and just about 7 or 8 months ago I started to focus all my free time on my dreams. At first I didn't mind focusing my entire time on a life I made up in my head, but then they came to my state to perform and I got to see them and meet them and reality hit me. Now I feel like crap like my real life isn't anything, I would rather live my life as I lived in my mind but not much in my real life is the same as in the fantasy one. I would just go back to daydreaming but since I finally realize that they aren't true I just start thinking about how bad I want to live like I did in my dreams. I guess my real questions are how do I get over this depressing feeling? Do any of you do this? Do you think this is normal? After this feeling goes away do you think I should go back to my fake life since they keep me happy?