Written goal setting is most definitely important if you want to succeed as a musician. I've actually read a number of things that state that written goalsetting is actually one of the largest predictors of success in life. Having said that, setting the right kind of goals is important. In short, don't think of your goals as a destination. This sounds cheesy, but hear me out.
First, decide you want to learn how to be good at something, like say sound design, or DJing. Don't think of it as "I want to become a DJ" but instead think of it as "I want to add DJing to my daily activities." This keeps your focus grounded so that instead of daydreaming about how awesome it will be to play in front of a crowd, think about what accomplishing that takes, on a micro level meaning from day to day. Don't sit around thinking about all the money and fame you'll achieve, that's not helpful and won't get you anywhere. Think about practicing beatmatching, track selection, and learning to create a set that flows well. You also have to decide whether you're willing to sacrifice your time. Everyone in the world has a day full of activities and entertainment. What part of your day do you want to cut out? Are you willing to cut two hours' worth of YouTube or Facebook to practice every day? And I'm not trying to be condescending, these are real issues you (and I) will have to grapple with.
Start think of things in these, more realistic terms. Now. Don't worry about the ultimate goal, try to set incremental goals and accomplish them. THIS is where written goalsetting is helpful, when focusing on the means, not the end.
Take the activity of sound design for instance. Learn how to make a bass patch, for example. Now repeat this activity every day for a few weeks. When your set time period is over you will have something to show for your hard work, and it will feel good. Not only that but it will be useful when you're next in the process of composing a track. Now move on to the next task, maybe something like composition/arrangement, and again work on it every day. Once you have the basics down, go start doing it as much as you can, forget mixing it down that will be the next thing to practice, just work on coming up with interesting arrangements and combinations of sounds, maybe your goal here would be to finish an arrangement each week or spend two hours on arrnagement each day. This is hard, you're going to fail, and maybe get laughed at. Seek out better producers and have them tell you what you suck at. Practice those things every day, until you stop sucking at them. You will figure out that no one can never fully master something like arrangement or sound design, but spending your time doing it will be fulfilling regardless, because you will have a string of "I used to suck at that, now I don't" moments.
You'll still have things you suck at. And you might not be a famous musician, but you'll still love the fact that you can play make lots of cool sounds, and arrange them into an interesting and coherent story.
If you look at a lot of the most successful people in the world, you'll notice that a lot of them are pretty damn good at quite a few weird things. That's because they have a lot of passions, but they're only good enough at one or two of them to make a living out of it.
And you have to understand that no matter what you undertake, it will never be your identity. I see this a lot with musicians. They think that their whole lives will be consumed by music and if it's not, they're a failure. But even some of the best musicians only play/practice an average of a few hours each day, and the rest is spent on life. So many famous authors worked day jobs, even as they were writing their second published novel and beyond.
Decide you're going to go down a path, and worry about the next step. If you keep thinking about the destination, you're never going to leave.