A study conducted on the 1979 Harvard MBA class produced an interesting observation about goal setting. Within this group there seemed to be a strong correlation between the physical act of writing down ones goals and the likeliness of achieving them. As the author of the linked article suggests, one of the benefits of writing down your goals is to set a benchmark to measure your progress. Hitting milestones along the way can be reason to celebrate, which in turn can provide the motivation to keep working towards your goals.
If you're not sure how to start, this workbook is a great place to start.