Everyone has these fantasies. Some people more, some people less. But we are human beings and not angels. Hakadosh Baruch Hu created the world in such a way that men and women are attracted to one another and, because of this, people get married, have children and populate the Earth. But not everyone is bothered by these thoughts as much as they bother you, and that is already something to be proud of. Because, you see, as soon as you get down on yourself about these thoughts, you become sad, and the sadness brings even more fantasies, and this becomes a vicious cycle that is difficult to break away from. However, the moment you start to look at yourself in a positive light, you will see that the fantasies will come much less often.
The Ba’al Hatanya (Chapter 27, abridged) writes about those who subdue these bad thoughts:
The Zohar (p.128) extols the great satisfaction before Hashem when the sitra achra (the other side) is subdued here below. For then the glory of Hakadosh Baruch Hu rises above all, even more than is possible through any praise, and this ascent is greater than all else.
Therefore, no person should feel depressed, even should he be engaged all his days in this conflict, for perhaps because of this he was created, and this is his service -- to constantly subjugate the sitra achra.
They tell a story of a Ba'al Teshuvah who once came to one of the Chassidic Masters with a question. Having done Teshuvah for his past evil ways, he found that he was still plagued by bad thoughts and fantasies. The Rebbe gave him a parable:
There was once a Jew named Moshkeh who owned an inn where he used to sell wine and spirits to the gentile peasants of the area. After a while, he became disgusted in dealing with the drunken gentiles and decided to go into another line of business and he closed down the bar. That evening, there was a banging on the door. "Moshkeh, Moshkeh, open up! We want some - 13 -
wine and spirits!" "Sorry," Moshkeh replied, "from now on, the inn is closed." The gentiles had no choice but to leave disappointed. For days, and even weeks afterwards, Moshkeh would keep getting knocks on the door, but as the word slowly spread that the bar was closed, the knocking became less and less frequent, until the gentiles stopped coming altogether.
The same goes with these thoughts, explained the Rebbe. After doing Teshuvah, the thoughts keep trying to get in. But, if we keep the store closed and refrain from our past behaviors, the thoughts too will stop coming to us after a while.
See this page for many more great techniques on dealing with persistent fantasies and bad thoughts.

fantasies are human nature. some people more that others. so the very fact that we have them meens we are NORMAL...HEAR THAT? NORMAL
now,
they bother you? that in itself should make you happy! out of the entire world how many people do you think are bothered by it? ill tell you, not so many.
do you know that having these fantasies are an issur from the torah? (not to make you depressed again if you have them, it meens your normal) but every time you control them, you get a mitzvah, and a big mitzvah at that. so you should be happy! we are the ones who control our thoughts, now all we have to do is work on it.



one time i was able to talk to one of the twerskis and i told him (among many thing) that my father has a tv in our house and i have difficulty with it. he told me be happy! evey time you walk into your house you have a mitvah of lo sasuru!