Actually I also do the same, although strictly speaking it is not generally a truly "imaginary" person, but often someone I know who has expressed differing opinions of the questions I'm considering. But of course at the end of the day, it's much less effective because my "model" of the other person doesn't allow me to escape from my biases to the same extent and even my model of them can be subject to bias.
This type of internal dialogue is actually a very useful technique though, especially for the purpose of creating persuasive arguments, and somewhat coincidentally, is actually a topic I was planning to discuss in a future post.
On the topic of religion itself, I'll reserve my thoughts on that to another post, as it is a big topic and a few quick observations without a full explanation might leave me open to unwarranted criticism :-)
looking forward to it!