If your sexual desire gives you pleasure, you're good at fantasising! We get a lot of sexual peasure from anticipation (good things come to those who wait, etc etc) and thinking about what you're going to do and have done to you.
With fantasies, the pleasures of sex are spread over longer periods of time. The big sensations don't all come at once, and you don't spend hours of frustration waiting for the big O.
For most people, sexual enjoyment is deeply rooted in our emotions. When he caresses your body, your fantasies act on your emotions and make for fuller pleasure. Try thinking of your fantasies as caresses of the mind...