Been thinking about bigger-picture stuff than my research and documentation class. I touch on it a little in that class, under the general heading of 'pick projects that support your long-term goals,' but that's it.
A little bit of thinking, and I decided that I think your self-determined 'research program' is going to depend on where you are in your journey. So first, a breakdown on that, then I'll see if I can't say anything more sensible about developing a program. All references to apprentice and master, below, are generic small-a and small-m, not references to Laurels and their students.
Novice/apprentice: Your job is to try a little of everything that seems interesting. Take classes, ask people what they are doing, read a book or two. Dabble. You may want to focus on projects that are short duration, with a reasonable payoff - it can be demotivating to sink a lot of time into something if you don't know how it's going to turn out. Play. Play is important to keep your spirits up; it can be very hard to be a novice. You want to do All the Cool Things, but your skill isn't up to it yet. All your work looks like crap. There's nothing for it - you have to do the crap to make the good stuff - but it's emotionally hard, sometimes. Taking a playful approach can reduce the stakes and remind you that there's supposed to be joy in this. Your tools are probably not very good, because you're just dabbling, and you don't want to sink a ton of money into this yet. That's fine.
You're done being an apprentice when: You understand the general shape of your field - it is no longer "I like calligraphy!" but more "I like early round hands, but some of the late Renaissance stuff is nice, too." You have a basic set of skills - you can execute a project from start to finish, even if it isn't as nice as you'd like. You are running into the limitations imposed by the poor tools you are using, and you are ready to get better ones.
Journeyman/woman: You are probably past the 101 classes most frequently offered at Universities and scholas. You are going to need to develop your research skills to go and find the information you need to create the projects you want to do. You upgrade your tools to fit your increased skills. You may feel capable of teaching 101 classes. You are probably known in your local area as somebody who does (Your Art). You are more satisfied with your work, but you still have things you want to do, but can't. Look out for the classic error at this level - thinking you know more than you do, with more certainty than is warranted. You will know a lot more than a novice, but if you think you have it all figured out, you are almost certainly wrong.
You're done being a journeyman when: The traditional test is a masterwork. To my mind, that means you've created a thing that you are completely satisfied with. It is correct in all its parts, demonstrates technical proficiency, is executed beautifully, and fits your image of the kind of art you set out wanting to make. You may also be at the point of needing even better tools, as you now have so much experience you have preferences for slightly different tools for slightly different needs - and they make a difference to you.
Master: Ironically, mastery is generally when you realize how little you actually know. You actually know quite a lot about your field and can speak about it fluently, but you are also aware of all of things touching on it that you have yet to learn about in-depth. Your skills are well-developed, and you create noteworthy art. You are the go-to person for your art in your local area, and you are probably known outside of it as well. You may teach or write guides (or you may not - being able to teach or explain is its own skill set, and being a master of an art doesn't guarantee that you can teach it well). The chief hazard of mastery is ossification - resting on your laurels, as it were. Keep learning, and keep an open mind.
Both journeymen and masters may have a problem with the sunk cost fallacy. Sometimes, the art we thought we wanted to do loses its appeal. While there is an entirely different essay to be written about the difference between tenacity and foolish stubbornness, let us assume for the moment that you can tell you have actually lost interest in an art, and you're not just avoiding it because you fear failure. Don't keep doing the thing. It's tempting, because you're good at it, people expect you to do it, they praise you when you do it well. But if you are not enjoying it, what is now an imposition will become a burden, and you will come to resent the burden, and you may flame out of the SCA, riding the winds of a bitter Facebook post complaining how you haven't had any fun in years.
This ought to be enjoyable for you. Play. It may not always be "wheeee!" fun, but it should at least be satisfying and rewarding. If it isn't, why do it?