I wouldn't expect any major immediate changes in Sony's game division. You might see less spent on R&D or maybe a little less advertising, but they're not going to pull the Ps3 or anything, especially as the assembled media mavons predict its inevitable victory (despite never seeing any actual play footage).
if anything I think the first step would be to pull back on the PSP hype machine. Clearly taking over the handheld market is not the walk in the park they and everyone else in the know were anticipating, and its seeming less and less likely the machine (with its dreadful tie-in ratios) is going to turn them any kind of real profit or open the door to any future revenue streams. I don't think they're going to pull the plug or anything (because that might damage the brand), but you might see a steady decline in Sony-funded exclusives, less and less real work done on it, and just an ever decreasing trickle of mediocre third party titles and other things that were far enough along in the process that it would be cheaper to finish them than to cancel them. In short, the slow death of a failed system by a company that doesn't want to admit its failure (think the last couple of years of Sega Saturn).
I wouldn't expect any significant changes to the console business though until after the PS3 launches. Depending on where Sony's other cost cutting measures sit by then, if the PS3's launch isn't overwhelming, or if its post launch lull is as dreadful as the PS2's was, you might see them pull the plug altogether and maybe try to sell the computer entertainment division or spin it off as a seperate entity.