I've always believed that, when you make a dream (or a nightmare), this is caused by many thoughts and experiences you've done in a certain period of your life which, for many reasons, have reappeared in your mind.
These are, mostly, very beautiful (or terrible) experiences that changed you someway.
In the same way, there is another part of yourself which makes "dreams without sleeping": this is your Imagination.
In my opinion, when you follow your imagination and you make fantasies of your desires, you're already dreaming. You have the full control on what you're thinking about (in real dreams this is impossible) and you are able, maybe, to do the best dreams. Because everyone knows that dreaming is for free: you don't have to pay anything.
I usually follow my imagination everyday, making daydreams almost in every hour of my life. I'm maybe an exaggerated dreamer, but I think that without them, I wouldn't live.
I follow my imagination while drawing, listening to music, watching a film, playing a videogame, writing or maybe just while having a shower.
But my imagination reaches the peak when I draw: I'm not so good at drawing, I know, but I don't care: this is what I like doing the most and this is the most important thing. Then, while writing a novel, or maybe a poem or just a fanfiction... why not? These are the most beautiful moment for my mind and soul, because I can feel I can do everything I want.
You know? Imagination is a good company for lonely people, it's a hope for hopeless people...