Well, reality pretty much sucks most of the time, so yeah. Why not? As long as you can tell the difference between what’s real and what’s wishful thinking, I don’t believe it’s wrong or bad to try and escape occasionally.
My annual pilgrimage to Comicon is an example of that. I immerse myself in fantasy, sci-fi and pop culture for 4 full days and I’ll do it every year until I’m dead!