I think you can look at examples from the real world as well. Think about people who become excessively involved in fantasy worlds. There are people who spend too much time on role-playing games online. There are people who spend too much time looking at pornography online because they prefer that to reality. All of these people who retreat into make believe worlds like this are proof of what you are talking about. (Of course, not all people who like fantasy prefer it to reality -- there is a line between healthy escapism and losing yourself in the fantasy.)
This is an interesting topic. I think that you have a good start. I would actually suggest going to a work of literature to help you. You might want to check out the story, "The Secret Life of Walter Mitty" by James Thurber. The protagonist in the story prefers fantasy to reality, and the story does a wonderful job of probing into the depths of why people succumb to fantasy over reality. This might help give you some thematic exploration, allowing you to explore the theme in a clear manner using the work as an example. I think that you want to find as many examples as possible in as many realms as possible to demonstrate a type of "universality" to your idea and thesis statement. Examining the psychological condition linked to preferring fantasy to reality, delusion, would also be helpful for you. It is important that there is a probing of the psychological framework which enables individuals to pursue fantasy over reality and examining conditions such as delusion might help you broaden the appeal of the writing.