Conceptual art can be great fun or just plain frustrating depending on how you go about it. Too often I find myself getting wrapped up/bogged down gathering research (visual, textual, etc) and I lose sight of the fact that "concept" is supposed to be simple and quick visual brainstorming.
Just go. It's not supposed to be perfect, nor is it going to work right away. It's trying things without your usual filters on, no matter how rough or impractical they may be.
Having said all that, I try to approach most concept work with the following mindset:
as long as you believe it could work, it can.