The series not only repeatedly uses visualization for storing/retrieving memories (i.e. memory palace), but also for the subject to imagine oneself into different types of situations. For example in "The Abominable Bride" Sherlock goes into his mind palace to visualize how he would have solved a crime that happened over a century ago. In contrast, in "His Last Vow" he escapes into his mind palace to alleviate his pain from a gun shot. This is the part where the overdramatization of memory palaces occurs.
Mind palaces feature most prominently in Series 3, Episode 3: "His Last Vow".