Perhaps, I could take a different spin on this topic as an industry Lead Concept Artist.
If you are a concept artist or 3D artist serious about breaking into the gaming industry you must be where the major gaming companies conduct their development business. The top places are Los Angeles / San Diego Counties, Seattle and Austin. I would argue moving yourself to Los Angeles and immersing into the vast talent pool of artist there.
Commit yourself to at least three months in one of these locations. Find a regular night job to sustain your living expenses and then get involve with a local Siggraph Chapter. During the day use this time to work intensely on your artistic skills and research the local gaming companies. You will only have one to two chances at the most to impress these companies so make sure it's your top best submission. (Be memorable)
It will help while you're calling these places to get friendly not annoying with the receptionist at these places. This person will be your ally when you show up in person and help calm your nerves.
Los Angeles & San Diego has over 150 gaming companies and so the convenience of being around and meeting with other talents are essential. Seattle also has about 130 gaming companies stretching up to Vancouver, BC.
Yes, this means making a commitment to your work, being patent and having persistence on your part and only serious gaming artist will succeed.
My biggest advice: "It's not who you know, It's who knows you."