If you have trouble finishing projects chances are you're being overambitious and creating projects that are so large they overwhelm you. Try to work on smaller projects where you limit yourself to a few hours or a day to come up with a simple game or piece of music. That way you are forced to greatly limit the scope of your project, which increases the chances of actually completing something. Sure, the resulting creations are most likely going to be rough (to say the least) but you'll end up with something that can be considered completed and that's the most important part.