A'koss said:
What I used to do, pre-3e, when the PCs started becoming high level was to encourage them to create something for the campaign - something that would outlast the character who built it.
Honestly, I think you're able to do this as early as possible.
Set a goal, and work towards it, and all that. Accomplishing things that don't involve the DM's plots that are handed to you, but instead say 'I want to redeem this race of damned people so that they will no longer be tainted', or 'I want to overthrow that tyrant and make that country just and for the people.'
I know it's a different setting and different expectations, but in the Exalted game I played in, we made our own empire. We walked into a place with lots of warlords in little fiefdoms, and started toppling the despots, making deals with neighbors, improving the standard of living, and doing favors for Entity X to get Aid for Goal Y. We were doing this to Combat certain entities in the setting, and also offering a safe haven for others of our kind. But we started out small and, many small actions built up.
One example of something that I personally did was, while looking through a book of important cities, I came across the entry for a city state. It had apparently been attacked, or fended off an attack recently, and so the city state had practically no standing army. This city-state also had a HUGE population of spirits (magical entities like elementals and outsiders in D&D); its rulers were three powerful spirits.
One of the small fiefdoms our empire dealt with was an independent town of about 50 Aasimar (equivalent) warriors who bred heavily with Spirits, hoping to create offspring with unique abilities. One power that characters can have (including the Aasimar) is the ability to
quickly and efficiently train mortals to become elite fighters.
What did I Do? I approached my GM and said, "Hey. City-state has no army, but lots of spirits. Our neighbor can train an elite army real fast, and likes to breed with spirits. I'd like to broker a deal between City-state and our neighbors, so that our neighbors can train City-state's army in exchange for spirits to breed with. I'd like to get something from both of these guys in exchange for brokering the deal."