Holden Caulfield actually does this twice in the novel, and the first time is just after Maurice and Sunny have left his hotel room after returning to collect the extra $5 that Holden apparently "owes" them in Chapter Fourteen. Having been punched in the stomach by Maurice, Holden imagines that he had actually shot him in the stomach instead, and imagines what it would be like for him to go after Maurice with a gun but also bleeding all over the place:
I pictured myself coming out of the goddam bathroom, dressed and all, with my automatic in my pocket, and staggering around a little bit. Then I'd walk downstairs, instead of using the elevator. I'd hold onto the banister and all, with this blood trickling out of the side of my mouth a little at a time. What I'd do, I'd walk down a few floors--holding onto my guts, blood leaking all over the place--and then I'd ring the elevator bell.
We can see from this elaborate picture the way in which Holden is obsessed by fiction rather than reality, and indeed seems to dwell more in the world of fiction than the harsh and boring world of reality that he is trying to escape by running away. Note what Holden says to us after this elaborate scene:
The goddam movies. They can ruin you. I'm not kidding.
He himself therefore recognises the influence of the movies, one of the biggest champions of fiction, on his life which suggests that his imagination combined with his penchant for lying obsessively indicates that play acting for Holden is all about making his life seem more interesting than it actually is.