Mine do. I know, that's weird, but I'll be out somewhere and be thinking about my current character that I'm writing about. The being talks to me, telling me what to write about, sort of (no I don't hear voices in my head.)
But wouldn't that make a cool story, where an alien being becomes a character in someone else's head, to tell their story. When the being starts to sing and become more sentient, the human host goes insane, wondering who or what has taken over his body. Sounds like a Twilight Zone episode.
Yes, this is how my brain works. It makes people wonder about the sanity of writers. Other writers get this. I've even heard them talk about their characters talking to them while they're walking through the grocery store, talking to others, etc. Demanding little buggers!
I once had a thought that if I got all my characters from all my books together, what would they do or say? So I constructed a big meeting room in my head and brought in all of them. Lively group, actually. They even got along. LOL!
So the next time someone starts telling you a story in your head, make sure it's just a character and not the real thing--or a being from another world.
Have a great week!