I have this problem too (in addition to the problem of having multiple hobbies.)  And I beat myself up over it as well.  But I try to keep it in perspective.  If it seems like more fun to spend my limited free time on something new than it does to finish an old project... well... we ARE doing this for fun.  It's not like we're walking away from half finished open heart surgery and heading off to do an appendectomy, right?  

A once read a wise observation about uncompleted hobby projects:  you're done when you've gotten all the enjoyment you could get out of doing the project, not necessarily when it's "finished."
Not to say it isn't nice to have a completed project to put on the shelf once in a while, though.  Or it'd be nice to be able to field an army of miniatures wherin every soldier actually had two arms and a head 
