I start every screenplay from a story draft. I write out the whole movie as a story then I develop the script from that. Many writers I've admired do the same. Since you are a new writer, my suggestion is to start by writing down your stories as stories. Screenplays have very strict guidelines which force you to cut out bits and pieces. I don't want to discourage you from coming back and making your stories into screenplays, but want to advise you that much of what you see on a movie screen was added by the directors and studio not the writer.
Writing your ideas down as they play in your mind as short stories or even novels can be an excellent way of exploring and developing your stories and characters. Many movies and series started as books first.
As imaginative as you are, it seems as if you already place yourself in the role of your characters. Only, hopefully now, more safely.
Write down your fantasies. Perhaps introduce your characters to one another. Diagram your fantasy world. Sketch your characters.
Writing structured poetry is both simple and difficult since you must follow the length, rhyme and rhythm. Writing a story is more free form and you can be as detailed as you like. A screenplay is equally structured. So it is often easier to take a free form story and convert it into a screenplay rather than try to write the story directly as a screenplay when you first begin.
A lot of the superhero stories and epic movies started as comic books and novels. Screenplays ARE NOT about WILDLY CREATIVE. They are about translating WILDLY CREATIVE STORIES to the screen. And that often entails cutting out lots of detail. Consider that the Harry Potter books run up to 600 pages but are cut down to 110 or so for the screenplay.
What I often see are new writers who put their hearts and creative ideas into a script. They create a 300 page masterpieces but are then told to cut it down to 90-100 pages. They are often disappointed. Novels and short stories can be as long as you wish with as much detail as you wish to fully visualize your world. Screenplays are very barebones where filling in the details are left to other creative professionals (art designers, directors, cinematographers, etc.). While screenplays are fun and a creative outlet, it takes a lot of discipline to write ones that actually are made into movies. Getting your stories published is far easier these days given the internet.
As a new writer, you will want to read as much as possible--scripts, books on screenwriting and books on writing in general. Good luck!