We consider the paraxial model for a nonlinear resonator with a saturable absorber beyond the mean-field limit. We introduce a general stability analysis to evidence modulational-instabilities leading to the destabilization of a homogeneous field profile, eventually causing the formation of 3D structures. Further on, for accessible parametric domains, we show in simulations the phenomenon of total radiation confinement leading to the formation of 3D localized bright structures. Such structures are a direct generalization of 2D Cavity Solitons, recently observed in broad-area VCSELs, but they are confined also in the propagation dimension. At difference from freely propagating light bullets, here the self-organization proceeds from the resonator feedback/dissipation, combined with diffraction and nonlinearity.