K.T.
"Goodbye Game" What a great idea! I have never seen the book (but I'll second its recommendation anyway, LOL). We do exactly that - I tell my daughter to say goodbye to whatEVER it is that she's holding on to (mentally OR physically)...if we are leaving soon, we tell our friends bye, if birds fly overhead, we say hi and then bye to them as they disappear, we say bye to our animals as we leave the house, etc.
Also, my DD is 32 mos and she can understand when I tell her what we'll do next, (cheese as it sounds...) Dora style. "We're going to the library, then the post office, then the grocery store. And then I tell her at each place, just like Dora, "we're at the library now...remember we're going to the post office next?" To give her a sequence of places to go and things to do makes errands (and even home routines of dinner, cleanup, bedtime) much more fun and manageable for her.
Lastly, during play, I actually plan out an entire activity ahead and she doesn't start one thing without knowing what's next. I give it a time (yes, she still has NO concept of time, but that's okay), and then remind her every so often, more as we get closer to the next activity (10 mins, 5, 3, 1, done). I find it works best to IMMEDIATELY follow (in the same sentence when possible) "we're done" with "we're going to do X now". Why should she stop doing something fun to start something that she doesn't even KNOW what's next...
Good luck, I hope at least one idea helps! :)