Come up with a special power or characteristic for this person. It’s what will make them fun. Give them flaws, but make sure their personality will make them side with you almost all the time. Try taking a look at book characters for ideas. They can give you personality and novel ideas. Also, think about what you’d want in a friend, and then incorporate it! Just remember that they can be whatever you want. A human, a beast, a flying carpet, or a spirit, it doesn’t really matter.
If you have The Sims, or a Wii (the Mii Channel), you can create them on there. Or make them at South Park Studios website, or WeeWorld (WeeMee), or design them in apps like Gacha Life / Gacha Club!
Have an adventure with your new friend. Go somewhere exotic (real or otherwise), somewhere that you’ve never been and share stories together of your findings. Write an imaginary diary about all the wonderful places you’ve been. Hold a conversation! If you can’t talk to him or her, you essentially won’t be friends. An imaginary friend will never tell anyone your secrets or talk about you behind your back so tell them anything.