Well, you do it anyways.
We have a tendancy to look down on people who live in fantasies, who refuse to acknowledge what is obviously real. But, as The Matrix loved to ask, what is reality?
As Orson Scott Card noted in Children of the Mind (in the Ender's Game trilogy), "Life is fiction." We may agree on many points of our fictions, but differences in our basic definitions are where miscommunications start. A conversation I have had rather often (that I do not start) is "Do we see the same color?" That is, do we perceive our world the same way, or do we merely agree on conventions, and assume we all see it the same. The most commonly cited phenomena is colorblindness.
So what does this mean? Well, at its core, it means we have control over our world. Stopping bullets may be a little beyond the power of simple attitude change, but we already use this style of alteration in our daily lives. Ever "put on a happy face" for company, then end up enjoying yourself? How about that unfortunate happening when you say that you won't have fun and, surely enough, you don't? Like those books that induce a mindfuck?
People have been known to think themselves sick. Is it any streach of imagination that you can think yourself well? Or even maintain an attitude that maintains your health as well? Is it possible to maintain an attitude of peacefulness long enough and often enough that you begin to avoid situations that have a high chance of putting you in danger? Maybe, once you're ready, you won't have to dodge bullets...
In short: it's not such a bad thing to be living in your own world.