Phase 0: Make a plan
You must first decide what steps youre going to have in your process. It sounds simple (in fact, all of this sounds simple), and yet people often dont make this decision before they start coding. If your plan is lets jump in and start coding, fine. (Sometimes thats appropriate when you have a well-understood problem.) At least agree that this is the plan.
You might also decide at this phase that some additional process structure is necessary, but not the whole nine yards. Understandably, some programmers like to work in vacation mode, in which no structure is imposed on the process of developing their work; It will be done when its done. This can be appealing for a while, but Ive found that having a few milestones along the way helps to focus and galvanize your efforts around those milestones instead of being stuck with the single goal of finish the project. In addition, it divides the project into more bite-sized pieces and makes it seem less threatening (plus the milestones offer more opportunities for celebration).
When I began to study story structure (so that I will someday write a novel) I was initially resistant to the idea of structure, feeling that I wrote best when I simply let it flow onto the page. But I later realized that when I write about computers the structure is clear enough to me that I dont have to think about it very much. I still structure my work, albeit only semi-consciously in my head. Even if you think that your plan is to just start coding, you still somehow go through the subsequent phases while asking and answering certain questions.