Lucid dreams generally begin non-lucid, that is, with you simply doing your dream thing. Same 'ole shit. Your driving backwards down the interstate, and your mother is yelling at you to not forget the fruit. The thing is, you must train yourself to recognize this fucked up activity as being a cue that you are dreaming. So, if you are walking down the street, and a flock naked nubiles are walking along with you, you are dreaming, and should realize this so that you may have your way with them.
This brings me to a point that I'd like to make about the nature of dreams. In our dreams we generally act as we would in a typical social environment. That is, we carry with us all of our fears, restraints, worries, social masks, biases, etc. All of this in an environment without consequense! How sad! All of those wasted possibilities! How many times have you dreamt about someone that you've fantasized about, and yet, in the dream you were your same 'ole self, never laying a hand on that person? Sucker! You could've had anything you wanted from that person, but you blew it by sitting idly by, and watching your dream as you would a crappy movie. Duh, what's gonna happen next? Duh, I wonder if she'll give me the opportunity to ask her out... JERK! You are DREAMING! You don't have time to ask her out! Hell, you don't HAVE to ask her out! She's a figment of your imagination! She'll do anything you will her to! Your gonna wake up soon, and you'd better get your rocks off while you can! --That's the sort of thing that you should tell yourself when faced with someone you'd like to...well, you know, fuck, in a dream.
To have lucid dreams, you HAVE TO train yourself to recognize when you are dreaming, and when you are not. One method that I have used, and I know that it will sound corny, is to ask myself throughout the day: "Is this real? Is this a dream?" Something to that effect. The point is, you must train yourself to question the nature of the reality that you are in at all times. That way, hopefully, the next time you are hanging out with that gorgeous cousin of yours, whom you would love to, you know, fuck, you will think: "Hmm. Is this live, or is this gonna be Mentalsex?" You get the idea.
That will help, but you should also look for oddities in your current situation, just the typical strange shit that pops up while you are dreaming, such as clocks with no faces, etc. When combined with your wondering about the nature of the current reality, lucidity will be triggered for sure.
So, what happens next? Your first lucid dream will most likely be very short. You'll realize that you're dreaming, and then you'll get so excited that you'll wake up. Don't be discouraged, though. Remember how it felt to be dreaming while conscious of the fact. Baby steps, dear, baby steps.
Eventually, you will learn to control your excitement, and have some fun (without consequence)! If nothing else, remember this: You think it, it happens. If you don't take control, your mind will ramble on, and you'll eventually lose lucidity. Don't let it happen. Think of it as being a movie with you as the director. Sometimes it will seem that you have more control than other times, but that's only natural. Start with your own actions first. Instead of being your normal repressed self, do something wild. Do what you REALLY want to do. Whether it's sex, violence, or something more relaxing, such as flight, singing really well, it doesn't matter. Just don't allow yourself to be yourself. It's similar to the TOTAL RECALL thing. Why be yourself if there aren't any consequences?
You know that state of mind when your body is asleep, and your mind is following? When all you can feel is inside of your head? Your whole world seems to be made of nothing more that your thoughts? We'll call this state the "hypogoggic" state, and I hope I am spelling it correctly. There's something VERY special about this state of mind/body. It usually is easier to recognize the presence of this state during those few hours before getting out of bed, when you are awake, then asleep, then awake, then asleep, until you finally say "ah, fuck it." and get up. The next time you become aware that you are in the hypogoggic state of consciousness, attempt the following .
Realize the state you are in. Your physical body is asleep. Dead. It doesn't need you right now, and you don't need it. Now concentrate. Stay alert to what you are feeling. You must at least pretend that you have an astral body. Concentrate on that. Think of your mind as being a mass of energy in the shape of your physical body. Now, using that energy, and the will to break free, slowly sit up. Yeah, that's right, sit up. Move your astral ass outta bed. You MUST will yourself out. You can't just sit there thinking about moving, you have to ATTEMPT the feat. Remember, you aren't going to move your physical muscles, so don't wake your body up to do so. Just pretend that your mind has muscles of its own, and use them. FEEL it happening. STAY FOCUSED! Don't allow your mind to wander. If a thought unrelated to what you are doing arises, SQUASH IT! Get back to the matter at hand.
If you've done this correctly, you will actually feel that you are out of your physical body. Whether or not this is what has really happened, well, who knows. The thing is, it feels like it. If you haven't done it correctly, you'll simply be sitting up, physically. If this is the case, lie back down and allow your body to go back to sleep, and then try again. It doesn't take long for this to happen. Actually, within a few minutes, you may attempt this a number of times. Remember what you did wrong. Remember the way that you attempted to "rise". Just remember, you are not trying to move your physical body. So, it's going to take some other form of motivation. It's all in your head, so will it to happen. MOVE YOUR MIND UP AND OUT.
You'll know when you've done it correctly. No guess work there. It's a one-of-a-kind feeling. Like floating with the ether. You'll have to find a way to move around, and it may be difficult. Just remember that all you have to do is will yourself to move, and you'll move. Use your mind. You may wish to head straight outside, don't let walls or windows get in your way. You can pass right through them, as long as you remember that you can pass right through them. (I know it sounds strange, but your hang-ups as to what you can and can't do during and OBE will strongly effect what you can and can't do.) Remind yourself that you are completely safe, and that you can do absolutely anything. If you have trouble getting through a window, remember that you can pass through windows, and do it!
There are many things to do once outside of your body. You should experiment with the state of consciousness, feel free to do anything you desire. Be creative. Look in a mirror. Look for your physical body. Go outside and fly around. Change the scenery from realistic to abstract, just by willing it to occur. You'll get what you expect to get. It's your playground.
Some books will tell you to ask for a teacher or a guide (telepathically, just think it), and one will appear. This really does work, though the results can be quite strange. Remember, it's all coming from your mind (at least that's my view of things). Some claim that there is a complete universe that only exists on the astral plane, and that the beings called up are actual entities that exist in these realms. Whatever. I really don't care. One thing is for sure, I don't want to set myself up as a new candidate for admission into some fucked up new-age religion. So, I like to think that it is all in my head. Do what works for you.