Here is where we should find a distinction between wishes and goals. Few people have goals and most of us have wishes. Wishes are thoughts that we have about how we might want things to be different than they are. Maybe we see a nice item, like a car, house, or jewelry and think it would be nice to own one of them. Maybe we see a happy couple and think it would be nice if our relationship was like that. Maybe we see a fit person and wish we had that level of healthy. Maybe we hear a moving speech and wish we had the ability to be as persuasive.
Those are all example of wishes. It is even possible that we have those thoughts for years or even decades. Since we have those thought for so long, we get confused into thinking that they are goals and therefore this whole idea of goal setting and achieving goals is bogus. The problem is that these wishes are triggered by external events and are only sporadically triggered into your consciousness.
Our brain is an immensely powerful tool that is eager to help us achieve our wishes, though only if we transform them into goals. Wishes are like a dream to our brain, they are interesting when they occur though they don't necessarily spur us on to take action. A goal must be something that will enable and encourage us to take action.
What is the key to setting goals? When trying to answer questions like this, I try to fall back on transferring this mental goal into a physical goal. What is the key to running fast? When thought of this way, I think if a child asked us this questions, an easy answer would be to tell them to practice running. The same is true for our mind. Most of us are children when it comes to being successful, so don't get distracted by any fancy ideas or formulas. If you want to learn how to set goals, practice setting goals.
How often should you practice? About the same amount of time you would expect that child to practice running. I ran track and cross country in high school and we practiced every day after school, and sometimes in the mornings. At a minimum, I would expect the same amount of effort to improve a mental skill. Practice setting goals about 5 times per week. Don't worry about how to do it or what to do, just do something that you think is setting goals.
Review what you have done each day and improve on it. To start, you can keep a list of wishes. Every time, you have a thought like "I want that" or "I wish I could do that" add it to a list. Try and get as long of a list as possible, and review it regularly to see what type of pattern there is. Then try and find a common theme or thread to reduce what are the key recurring themes on this wish list.
Then when you have a good handle on what your key wishes are, try and make a specific goal or target and put a timeline on it.
Just like when training your body, expect this exercise to take at least 3 months, and I would plan for 6 months before you feel like you know what you are doing.