Where do they come up with those things!
But help make their 'make-believe' worlds large and luminous, and help them believe that their creations are worthy. Use a good Bible story book (we wore out a Hurlbut's) to share exciting Bible tales down on a child's level. Those true stories of courage and character will bring BIG dividends in later years.
The famous Christian apologist C. S. Lewis credited George MacDonald, the Scottish preacher/writer, for "baptising" his imagination. A good, sanctified imagination, wrapped in devoted intelligence that is established upon a healthy 'fear of the Lord' will help each one of us to go farther into the deeper/higher things of God.
Excite them about life! Exalt the joys of practical uncovery (dis-cover-y). Encourage their 'what if's. Educate them purposefully, for Eternity.
May we have no greater Joy than to see our children walking in Truth, no greater Desire for them than that they spend Eternity in the huge, unfolding Adventures of God.
And shall we dream about those adventures now?
Yes, in the same way that I enjoy seeing a child with a healthy imagination, so is my Heavenly Father encouraging me to use my imagination to His glory and honor, "bringing into captivity every thought to the obedience of Christ."