Personally, I still find this pretty hard to do. But, saying no to stuff that does not fit your plan might be one of the most important and freeing activities you can do.
An important insight: in your head, you'll probably overstimate the impact of saying no. Most people will actually understand. Maybe because saying no makes it clear that you have a vision and a plan: if you reject something because you have something else to finish, you've already decided on what is most important for you, which makes your no far easier to understand and digest.
Another strategy if you know lots of people come to you with requests, is by declaring up front you absolutely need today or the next couple of hours to finish project X. This sends a clear message and prewires the next no's you'll have to give.