How do Macbeth from Macbeth, and Gene from A Separate Peace create illusions to escape the harsh realites they find too dificult to face? 

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Macbeth convinces himself that the witches’ prophecies will come true, and he is destined to be king.  There is no reason for him to consider himself king.  He is not the named successor, and is nowhere near king in the noble rankings.  Yet he considers himself passed over when King Duncan announces that his son Malcolm is his successor.

The Prince of Cumberland! That is a step(55)

On which I must fall down, or else o'erleap,

For in my way it lies. Stars, hide your fires;

Let not light see my black and deep desires:(Act 1, Scene 5)

Macbeth maintains his illusions, and they are supported by Lady Macbeth.  She encourages him to stretch his ambition.  When he sees the bloody dagger, he interprets this vision or hallucination as proof that he is supposed to murder Duncan.  He even returns to the witches to ask for more prophecies, and then follows them so closely that they lead him to his doom.  For example, when told that “none of woman born/Shall harm Macbeth” (Act 4, Scene 1), he interprets this as proof that he can’t be harmed, even though he is also warned to beware Macduff.

Gene similarly allows his delusions to justify his actions and feelings in A Separate Peace.  When Phinney comes back to school after Gene pushes him out of a tree, Gene develops a guilt-driven symbiotic relationship with Phinney.  He plays sports on Phinney’s behalf, while he tutors Phineas in academics.

“‘Listen, pal, if I can’t play sports, you’re going to play them for me,’ and I lost part of myself to him then, and a soaring sense of freedom revealed that this must have been my purpose from the first: to become part of Phineas” (ch 6)

Gene's allusion that he was really just meant to be "part of Phineas" all along results from his inability to confront his own guilt and the dark reality of what he did to his friend, and feelings of jealousy and inadequacy that lead him to do it.