I agree with you guys that you can get hung up on technique and that it's better to play around and experiment. Most of my music has been partly improvised from mind and partly on experimentation and luck.
This said I don't think that theory is un-important; if nothing else it's a catalogue of ideas, a check list. When you've got one variety of mode/scale licked you can try another. I'd have got very bored of my instrument had I not devoted a lot of time to practicing different sounding arpeggios and scales. To start with I just follow fretboard diagrams and it's pretty mindless copying but when I've internalised it it shows up in my impros and is a real help.
As for goals, my goals aren't very clearly defined really, I just keep practicing for hours on end. I think the best policy is to set yourself tangible goals but keep in mind amazingly arrogant "i will rule the world" goals at the same time and not care if you currently only rule a small corner of your bedroom.. The better you feel about your playing the better you play, it's best not to beat yourself up about things. I used to get so stressed about it all thinking "yes but is it music?" and getting fed up that people wanted me to play something more melodic (ie.a catchy two-bar riff) but I find that mindnumbingly tedious to play.