This could be a problem with discipline on your part. Nobody can help you follow through on commitments except yourself, but perhaps the problem is that you don't have a commitment of any sort.
Maybe that's not it; maybe you get writer's block? Maybe you follow the rule of thumb, "when you get stuck on a story, write something else." And maybe that happens a lot to you?
Either way, ask yourself with each project: "What do I want to achieve?" Do you want to write a short story? A novel? a decalogy of books? All of these are achievable goals. Pick a project ("A story of length [foo] about [topic]") and set a deadline for yourself. Whether you want to break that deadline down into dates for outlines, character sketches, first draft - that's up to you. But tell yourself you'll be coming back to that, because you've set a hard date for completion of the first draft and the final edit and submission to a magazine/agent/publisher.
A short story is a great stepping-stone to a novel. But a novel is not the be-all and end-all of writing. (Except for established novelists, of course.) Some of my favorite books are barely novels by the modern definition. But if you want it to be a step on the way to a longer book, plan for it.
There are tricks for how to stick to a deadline: Set a daily word count, set aside daily writing time, get yourself a place to write (home office, the bus, coffeeshop) - but these are frills.
What seems to work for more people is to write every day. Don't stop. Ever. If you don't enjoy the process of writing, if you're not doing it all the time, you won't improve and you won't keep it up. (Okay, fine, take the weekends off if you must.)
Get off the internet, stop reading books about writing, stop planning (particularly if you have world-builder's syndrome). Sit down and write. When you finish the thing you're writing? Write something else. Stuck on the piece you're working on? Write something else for a while. But, since your problem is that you're skipping around, leave yourself an easy place to pick up. Stop in the middle of a sentence, perhaps, or leave yourself a few notes about what you want to do and why you're stuck.