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

Moby Thesaurus II by Grady Ward, 1.0:

62 Moby Thesaurus words for "woolgathering":
   Walter Mitty, absence of mind, absent, absentminded,
   absentmindedness, absorbed, absorption, abstracted, abstractedness,
   abstraction, bemused, bemusement, brown study, castle-building,
   daydream, daydreamer, daydreaming, daydreamy, depth of thought,
   dream, dreaming, dreamy, drowsing, ecstatic, elsewhere, engrossed,
   engrossment, fantasy, fantasying, faraway, fit of abstraction,
   half-awake, in a reverie, in the clouds, lost, lost in thought,
   meditative, mooning, moonraking, muse, museful, musefulness,
   musing, muted ecstasy, napping, nodding, oblivious, pensive,
   pipe dream, pipe-dreaming, preoccupation, preoccupied, rapt,
   reverie, somewhere else, stargazing, study, taken up, trance,
   transported, unconscious, wrapped in thought