The Collaborative International Dictionary of English v.0.48:

Woolgathering \Wool"gath`er*ing\, a.
   Indulging in a vagrant or idle exercise of the imagination;
   roaming upon a fruitless quest; idly fanciful.
   [1913 Webster]

The Collaborative International Dictionary of English v.0.48:

Woolgathering \Wool"gath`er*ing\, n.
   Indulgence in idle imagination; a foolish or useless pursuit
   or design.
   [1913 Webster]

         His wits were a woolgathering, as they say. --Burton.
   [1913 Webster]

WordNet (r) 3.0 (2006):

woolgathering
    adj 1: dreamy in mood or nature; "a woolgathering moment" [syn:
           dreamy, moony, woolgathering]
    n 1: an idle indulgence in fantasy