So many good points were made so I'm just going to agree and repeat lol
I would communicate all fantasies in between sessions. I would never do it during a session. Sometimes by expressing what you'd like to try before hand allows your Dom to add his own little twists to it to where it is fulfilling for both people involved. And as said above, some fantasies are just left best at being a fantasy.
Communication is the most important factor in any relationship. Be it friendship, vanilla marriage, or hard core BDSM. Do not be afraid to say something. A good partner will respect what you have to say and, whether good or bad, will support you through it. Just be sure to show the same respet and understanding in return. ny fantasy worth playing out is worth talking about.