Until you know exactly what your thesis project is going to be, it's easy to feel a little lost. Even if you know the kinds of things you want to do, but not exactly what the contribution will be, it's easy to wonder where you'll end up. That's basically where I am right now: between courses / comprehensive exams and having a solid research direction. It's a little scary, but I think it's ok. I'm ok with it.
Granted, I don't want to stay here very long. I want to be able to propose as soon as I can. Originally the goal was going to be in the spring, but since I'm now expecting at Christmas, that's obviously going to change. On the other hand, knowing that I only have the fall semester to get as much done as I can before a substantial break does encourage me to focus more. (I'm sure now that I'm done with the throwing up stage my brain's capacity for awesome will increase tenfold or more!)
I think there are two important things to remember during this stage of a PhD: First, don't get down on yourself. I'm willing to bet that almost everyone feels lost for at least a few minutes (ha!) at this stage. Second, don't let yourself linger too long. What "too long" means depends partially on how lucky you've been - if you know you are working hard enough, you may still need more time to hit on that killer idea. That's ok - failure along the way is ok and probably expected. The trick is to avoid being discouraged and giving up, even if subconsciously.
If you are past this stage, what helped you get through? Do you have any strategies that can help us "lost souls" find our focus and improve our chances of finding our contribution?