Heh... I've daydreamed pretty much as long as I can remember. I used to daydream about a portal to Kirby's world (yes, the pink marshmallow from the games) opening up and me going through to stay a while, but EVERYTHING was made of food; the grass was french fries, the trees grew cheeseburgers and were made of licorice for bark, it rained soda pop (I think mountain dew), and every.
Single.
Rock.
Was fried chicken. xD
I still daydream quite a bit these days... sometimes it's just more fun than whatever else I could be doing. Which sometimes gets in the way, of course, but I can still buckle down and get things done in life when it counts... usually. Most of my daydreaming is done kicking back in a chair at a delightfully awkward angle, and I typically think of anything from driving cars (and forgetting my keys) to fighting alongside some video game characters (in a longcoat, of course ^^) to... well, sometimes I use daydreaming to think about certain tough or grim issues, like misanthropy towards the human race (which I have to deal with a lot in my friends) or imagining myself in certain situations with my metaphorical finger on the metaphorical button that decides them. But I digress.
If you'd like advice on how to not daydream so much, then I might suggest (keep in mind I don't always follow my own words) that you set aside 'blocks' of time in every day for yourself, where you will do your heaviest daydreaming. The rest of your day will be divided into their own blocks dedicated to whatever work or planning you have to do. Your subconscious should take the hint from this, and you may find it easier to focus your daydreaming on the spots of time you've promised to yourself.