To each his own
A friend of mine often said "reality seldom lives up to the fantasy"
And to one extent he's right, our mind is capable of imagining something far more stimulating than reality. Prove my point: close your eyes now - no, not now, read this first, THEN close your eyes
- OK so close your eyes, relax in your seat, and remember the tastiest juiciest food you ever ate - got it? - it's all in your mind, right now, but I'll take a bet your body is responding as if it was really in your mouth - salivating, etc.
Reality brings its own experiences. Until you had sex you may have been driven to do it (OK you definitely were driven to have sex) but you didn't actually know how good it could be, right? For most people, losing their virginity is a discovery, and in many cases the first time is a bit of a disappointment compared to all they hype around it. Good. Fulfilling. You want more. But only for a lucky few is it that first time a truly "wow!!!" experience ...
for the luckier majority, sex gets better and better with practice and experience.
Fantasy also brings a type of experience. After you did have good sex, you can definitely better imagine having good sex (or even better sex) again.
Put the two together, you get the best of both worlds.
Go for it ...
But - for those who prefer fantasy over reality - try the opposite some times: try getting really into the physical sensations, touch, smell, movement, looks etc. of the girl you're actually with. You might find focussing on reality brings an extra dimension to your powerful imagination.
Also - for those who never tried fantasy - try it ... you might find your imagination brings an extra dimension to everything you're doing.