I can't answer for others, and I think there are a lot of different, equally valid, ideas about how to role-play, but...
For me, it's kind of "letting go" of that control. I let the character tell me how to play.
It's like when you're watching a movie. You might start out thinking, "this is only a movie, this isn't happening," but after a while you get caught up in the story and forget about it.
Here's a specific example from the other day. I have a character called "Wild Elf" who just behaves like an animal, doesn't go into cities, etc. She was out "adventuring," just looking for a random cave or ruin to loot, and there was a Legion Rider riding down the road nearby. Just for fun, Wild Elf started stalking the guy from just off the road, unseen. When he went over a bridge, she ran under the bridge and stalked him from the other side, then she got ahead of him on the road, and crouched above him on some rocks. She could have sprung to the attack, but she didn't. It was all in fun. We tagged along with the guy for a good long distance.
It was all pointless, of course. Aside from a little Sneak training, and some Acrobatics jumping from rock to rock, we didn't accomplish anything at all. But it was perfect role-playing of a feral elf out play-hunting, just as a wolf or big cat might do. It was probably fifteen minutes of wasted time, but as a result, I feel that I understand Wild Elf better than I did before. And during that time, I completely forgot that it was a game. (Or, more correctly, the game that was being played was not
Oblivion any more; it was
Wild Elf.)