You have nothing to lose, but everything to gain.
The above quote sums up how I feel about most things I go after in life, especially when I was in college. In addition to a full time major/double minor class schedule, I was part of a number of things outside of class: Dance Team, Student Publications, Study Abroad Ambassadors, Freshman Orientation Leaders, a board member of PRSSA, a Zumba instructor, and an intern at a few different companies. I also took extra classes like graphic design or rock climbing just for fun. My college lifestyle is not for everyone - and if I could do senior year all over again, I would narrow my workload down to just one or two things besides class to enjoy my college experience more - but I did so much because I was interested in so much. I wanted to utilize as many resources as I could during the short four years I had.
As a naturally self-motivated person, I didn't always get it when someone would ask me how I worked up the courage to do many of these things (like applying for a competitive internship contest or applying for a job to work overseas in Italy after graduation). I just tell them that I had everything to gain and nothing to lose. There was no harm in going after any of those lofty goals - the worst that could've happened would be to not get that internship or that job in Italy. But you know what happened? I got that internship my junior year. I was offered that position in Italy after graduation. None of that would've happened if I hadn't gone out there, put in my best effort, and just went for it.
There have been plenty of jobs I've applied for and didn't get. What did I "lose" from applying, though? Nothing! Maybe a half hour of my time spent filling out the application and an hour for an interview. The chance of making something happen is too great to just not try in the first place.
Setting goals can take some planning, organization, and sometimes, a lot of soul searching. Personally right now I have so many random goals in my head that I just need to sort out. The best way to turn those dreams into reality is to get started. Start by creating a "SMART" goal. Do your research. Ask for advice from family or friends or bloggers. Once you get started, things will become much clearer and those goals will seem more reachable.
Don't let your dreams be dreams. Turn those dreams into reality.