I don't think you'll need to format it any differently than you've formatted the rest of your work. That is, different fonts or text alignments shouldn't be necessary. All you really need to do, I think, is portray the fact the character's off in a daydream through the narrative. Before they begin daydreaming, their point of view will tell the reader that they're listening to this other character (maybe there'll be some mention of how dull their voice is, or how they just never shut up). The reader will be able to tell that they're starting to daydream if this narrative's focus switches from the talking character to something else entirely. For example, your character's point of view will then stop describing the way this chatting makes them feel, and instead starts describing something else that comes to mind. Their daydream.
The fact that they are daydreaming will really hit home if, after they've dreamt for a while, the talking character says something like: "Hey, are you even listening to me?" or perhaps says their name, after which your PoV character will snap to attention.
