How the hell does one lucid dream? It's only happened to me once or twice in my lifetime, and both times by the time I realized it was a dream and was starting to do my own stuff, it ended.
That will happen the first couple times you lucid dream, until you've trained yourself to not snap out of it so quick.
What has worked for me is spinning.. All you do is you start spinning in your dream, round and round, to the point of "if this were real life, I'd be really dizzy right now". For some reason that works.
An effective method of getting into a lucid-dreaming state in the first place is this: Write some sort of symbol somewhere on your hand.. You'll see this symbol (or word, or whatever) from time to time, during the day. Every time you see it, you're supposed to double-check if you're awake or not, check your surroundings, ask yourself: "Is this a dream?", pinch yourself, etc. Then, once you've confirmed that you're indeed awake, go on with your day.
What will happen, is that you'll train your brain to ask these "Am I in a dream?" questions whenever it sees that symbol on your hand. So if you ever see this symbol in your dream, your brain will jump into "checking if this is a dream" mode, you'll end up figuring out that it is, and you'll be lucid dreaming (at least for a while).
This method has worked for me, although it is a bit hit and miss, as you might not even see that symbol in your dream. You can supplement this method with checking if you're dreaming or not during the day, from time to time.
What has worked well for me is, when you see some text somewhere (obviously not all the time), look away, then look back. If it's changed, you're in a dream. Do this from time to time and you'll train your brain, and the behaviour will continue into dreams.
You could do the same thing with a clock (check th etime, look away, check again), or from time to time count all your fingers with great detail - to make sure you have 10. Your brain is practically an incredibly complex pattern recognition machine - so if you do this often enough, your brain will just take over and do it for you in a dream when it sees fingers... and that should throw you right into a lucid dream.
I have a very strange method for getting into a lucid dream that wont' really work for anyone else - it's way too convoluted and warpus-specific... but the above methods have also worked for me.
One thing you really have to try (if you end up in a lucid dream) is flying.
Boy was I pissed when I finally really did wake up.
