Where do we begin when improving our project management processes?

Similar to your project kaizen outline.

I work with PRINCE2 as a project methodology and one of its initial points is control.

1. Controlled Start
2. Controlled Progress and
3. Controlled Close

Many a successful project has been built on solid foundations, so I would push people in the direction of improving their project initiation and business case (that will be used throughout the project to guide decisions on change). If you already have solid initiation processes that produce good artifacts / products then move down the line and look at the controls around work authorisation and quality, finally end with the controlled close aspects.

Just my thoughts to help people think about kaizen within their project environments