IMHO, there's a lot of things Sega should've done here.
In 1995, Sega should've kept going with the Genesis and the 32x (Sega CD was fine enough to cut support for, same with Pico and Game Gear) along with the Saturn, because everyone knows that the Genesis still had a good 2-3 years with it, especially with the 32x. The 32x could've basically acted as a counterpart to the Saturn for owners of the Genesis who didn't want to buy the Saturn. Instead, they cut off the Genesis and killed themselves when the Saturn tanked.