It's one thing to come out to Hollywood or New York and call yourself an actor. It's a completely different thing to have a plan in mind on how your dreams will come to fruition.
Start By Daydreaming
It's okay to start this process by simply letting your mind wander a bit to figure out what you think your end goal might be. This is where your imagination can run wild. Don't limit your thinking. If you truly envision yourself becoming more talented and/or famous than any actor you can name, then let your mind drift there. Start to feel what that might be like.
Again, the importance of this exercise is truly just to let your mind wander. Don't let the "what ifs" or self doubts creep in. It doesn't matter what your old drama school teacher told you about the odds of making it in Hollywood -- in your mind you're already there.
The reason this step is so crucial is that you need to be able to have a rough idea of what your end goal might be so that you can now begin to work backwards to achieve it.
Identify Your Best Talent
What's the one or two things you think you're known for. Is it the ability to be dramatic? Comedic? Is there something unique that only YOU can bring to a given role? Think for a moment and try to identify what this particular skill might be (or skills).
This doesn't work for everyone, but sometimes if you can identify your one "knock 'em dead every time" skill, it something you can begin to use as a calling card when you first start out so that casting directors, agents, producers and executives will start to remember you.
Don't misunderstand me here. This doesn't mean that if you're really good at impersonating Richard Nixon that this is what you should do. This is more about identifying those parts of your repertoire that are lacking so that you can work on them and using the parts that DO work to your advantage RIGHT NOW.
Identify Your Short Term and Long Term Goals
Almost every late night self improvement program that they sell on TV starts with something like this. But, it truly is an important thing to do. It doesn't mean that they can't change as you move forward in your career, but at least it's a target to begin aiming for, rather than just shooting blind.
Short Term Goals should be those that you think you can REALISTICALLY achieve in six months to a year. Whereas Long Term Goals are those that might take 3-5 years. It's not very productive to go beyond five years because life is simply too unpredictable for that sort of time frame to be useful.
Once you've identified your short term goals, you need to start to figure out what it is that you need to do to achieve them. This is where you can do a bit of a reality check on your goals. If you pick a goal that you know deep down is IMPOSSIBLE to achieve within the given timeframe, you're only setting yourself up for disappointment. So, start to figure out what's realistic given your skills, contacts and time frame.
That said, don't go too safe either. You won't challenge yourself if your only goal in six months is to do a little outreach to an agent. Push yourself beyond your limits, but make the limits attainable.
For example, if you said it's your goal to get at least one major movie audition in the next 3-6 months. That's attainable and potentially might push yourself just enough so that you see it through. Assuming this is your goal for a moment, you then need to analyze those things you need to accomplish to make this goal a reality.
The point with all of this is that you need to set goals. Figure out where you want to be and what you hope to get out of your entertainment career and then make it happen. The only way you fail for sure is if you never try.