How to set goals when the challenge is to continually, gradually improve?
I think this is a very good question. Goal setting - as you mentioned - is a very useful tool to achieve milestones. The smaller the goals ("microgoals"), the more these follow the characteristics of a continuous growth curve. However, if I understand your question correctly, you might be looking more at something like "values" that you want to teach. 

If lifelong learning is part of the curriculum, you face the question how to evaluate the process (?) and maybe more meaningful, how to teach something that ends up as an understanding of a useful value in the arsenal of a modern-day student. I'd suggest, the best way to achieve this is to 1) lead by example and to 2) provide further examples. Examples should come from someone whose achievements can be traced back to them learning specific new skills throughout life without which they could not have achieved what we currently perceive as their main achievement. You should by now have a few examples in mind of people in your specific niche that would be examples for this. Talk about them and how their willingness to continually grow and learn enabled them to achieve what they did. Doesn't have to take long, but should stick in students' minds. 

Hope this helps!