Okay, spoilers ahead.
The first time through, you'll know when you've completed Sasha's shooting gallery because he'll automatically boot you out of his mind. But you say you've completed it? I think you mean that you've completed it, but want to get the rest of the figments, emotional baggage, etc. Much of that stuff you'll have to come back and get later, as you may not have the tools and psi powers to get them at this point. For example, those high platforms you need to learn how to levitate first.
So get out of his mind (if you're stuck in the shooting gallery, whiff the smelling salt from your inventory) and then walk up to the brain tumbler in Sasha's lab - and you get to enter your own mind.
Hope that helps.