I often suffer from the same day-dreaming and building castles in the air problem you described in your OP.
I have found that just writing down all these ideas allows me to focus on something else. I think the reason I constantly think about them is that I'm attempting to remember everything. The act of putting it on paper allows me to rest easy on that front.
I also prefer legal pads to everything else I have found, even electronic. There is just something about pen and paper and being able to cross out or annotate that helps me organize my thoughts. I sound like a luddite saying that, I know, but it's true.
I also spend some time every so often to go through my lists and consolidate or elaborate on items. Many times I'll find the reason I haven't been able to start on something is because it's too broad and ill-defined. Thinking about it and turning that one item into half a dozen more actionable (is that a word?) items helps get me started.