A way that I got a hold of this problem was by focusing on my net worth verses my income.
I started this shift in 1999 and I began with a negative net worth. Each month I kept track of all my income/expenses and assets/liabilities. My goal was to break zero ASAP.
By focusing on my financial net worth this helped me feel satisfied by saying no to frivolous expenses. Skipping a night out at the bar literally meant I might be worth $100 more the next day.
I still track every personal expense that my family and I make and I could tell you specifically how much we spent in groceries or gas or clothing (ect.) in any given year. It's actually not difficult and I find it relaxing to do once a month (almost every purchase is on a credit card so very easy to track).
Also, when I have had "vices" I've tracked those as well. For example, I tracked cigarettes separately when I smoked....as well as alcohol when I went out a lot. Now, beer / wine simply goes in with groceries as no longer is a very large percentage of our budget.
These days I have a "boating expense". I classify my boat with a value (what its honestly worth) and then any toys, dock fees, maintenance, boat depreciation, etc...goes into my boating expense category. I need to be able to justify that to myself at the end of the year...did I get "X" amount of pleasure from the boat (absolutely).
I get immense satisfaction looking at my personal balance sheet and watching it grow year over year. And the feeling knowing that I "could" afford to do pretty much anything I want feels so good that I actually don't even need to "do" much...if that makes sense.