Yes my son did this a lot. It made me nuts, too. And like you, I felt guilty about squelching it because I really wanted him to feed his imagination. I would explain to him that I wasn't very good at imagination games and that I could play the game for, say, 10 minutes but then I would have to stop and go back to being myself. He accepted that.
We were lucky in that we had several friends who had kids who were similarly imaginative and we would arrange for them to spend a lot of time together. He is 12 now and he will engage in day long imagination games with the younger neighbor boys, but he totally leaves us out of them, which is fine with us.
