I am awake in middle of night with third trimester hunger pangs/insomnia so will have a go at answering your post whilst eating toast and drinking tea (don't tell Miriam Stoppard I am drinking tea, obviously )
In a funny sort of way I think it's actually quite good that you're feeling as you are - because I think it's a step on the road to identifying goals and, as you say, being more strategic.
It sounds like your consultancy has been very successful so far - you've got work, you're in profit etc, which is great. To my mind there's such a thing as being a bit of a victim of one's own success though - the phone rings, it's one of your contacts offering another project just as the last one comes to an end, you say 'yes' and hey presto, there you are with another medium-sized job which isn't quite what you wanted but you can do it and it pays the bills. The important element in this scenario is that the customers are calling you - and there's never really a moment at which you get to sit down and say 'hang on a minute, what jobs would I really like'.
If the customers are calling you though, I think you're in a very good place for taking some time to think about what contract jobs you'd really like (in a particular topic area, for example) and how to get them, so that Plan A is getting the projects you really want and Plan B (if A doesn't bear fruit) is taking a 'this'll do for now' project whilst you go back to the drawing board on Plan A.
Then comes the dreadful moment re saying 'no' to a project/valued customer (meanwhile thinking 'oh no, will I ever work again'). I won't presume to offer much advice in this area as I need more practice at this part myself - but the truth is that as long as you decline politely and so on, the customer will probably try you again next time they have a you-shaped hole, because your 'product' delivers for them so much better than anyone else they could think of.
So where is the progress? I always find doing the accounts helps with seeing this writ large - because your accounts record your various customers and your (hopefully rising) profits etc. I suppose I'm saying that one way forward is to create your own measures of progress - eg setting yourself goals (eg sales targets, numbers of new customers, types of projects you'd like to take on) and then looking back to see if you've achieved them. It's a business plan, really, isn't it? Except that in this case you've got a life plan as well - which might include going back into employment at some stage. If you haven't done this before you might find it helpful to look at a couple of books on business planning, including the chapters on 'exit strategy'. In your case the exit is not to sell your business, or to pass it on to the next generation but to go back to the 'mainstream'.
I find there are always moments come the end of a project where you think 'oh, Mr So and So will now get to take on that interesting piece of work when I leave' (being just about to have a baby in the new few weeks and thus coming to the end of a project myself I'm in exactly this position, with added middle of the night fears that the baby will put paid to my personal, hard-thought-out version of 'progress'). But the fact is that whilst Mr So and So may or may not do a good job on the interesting work (and you could do it better, obviously), he's also stuck with the office politics, plodding in and out on the commuter train and all the downsides of being employed. You, on the other hand, can have change when you want it.
Hope you find these thoughts helpful.
I could now have another piece of toast or go back to bed Hmmm.