Researchers at the University of Montreal conducted a study of 1,517 Québécois (799 men and 718 women) and asked them if they have sexual fantasies involving various topics. They then tallied up the results so we could see how common or uncommon each fantasy is.
Of course what we care about is how common are crossdressing fantasies. Of the respondents, 6.9% of the women and 10% of the men expressed an interest. Although as an interesting corollary, most women did NOT wish the fantasy to be real, while most men did.
Here is a link to the complete news article summarizing the study, along with a table listing all the fantasies by prevalence.