It means that we're just dolls. We don't have a clue what's really going down, we just kid ourselves that we're in control of our lives while a paper's thickness away things that would drive us mad if we thought about them for too long play with us, and move us around from room to room, and put us away at night when they're tired, or bored.
From Rose Walker's diary, in SANDMAN #16: "Lost Hearts", by Neil Gaiman