This Chinese proverb is about letting your mind run away with itself. Even becoming preoccupied or obsessed with an idea. The proverb could also be used to describe someone who often daydreams.

胡思乱想
hú ​sī ​luàn ​xiǎng
to let one's imagination run wild
​

Another couple of English Proverbs with similiar meaning are

A bee in your bonnet; and

Flights of fancy

Both those proverbs have the meaning to let thoughts preoccupy yourself and to maybe even become obsessed with those ideas.

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