Taken from teh wiki:
The wake-initiated lucid dream "occurs when the sleeper enters REM sleep with unbroken self-awareness directly from the waking state".[27] There are many techniques aimed at entering a WILD. The key to these techniques is recognizing the hypnagogic stage, which is within the border of being awake and being asleep. If a person is successful in staying aware while this stage occurs, they will eventually enter the dream state while being fully aware that it is a dream.
There are key times at which this state is best entered; while success at normal bedtime after having been awake all day is very difficult, it is relatively easy after sleeping for 3-7 hours or in the afternoon during a nap. Techniques for inducing WILDs abound. Dreamers may count, envision themselves climbing or descending stairs, chant to themselves, control their breathing, count their breaths to keep their thoughts from drifting, concentrate on relaxing their body from their toes to their head, or allow images to flow through their "mind's eye" and envision themselves jumping into the image to maintain concentration and keep their mind awake, while still being calm enough to let their body sleep.
During the actual transition into the dream state, one is likely to experience sleep paralysis, including rapid vibrations,[15] a sequence of loud sounds and a feeling of twirling into another state of body awareness, "to drift off into another dimension", or the feeling like passing the interface between water into air face-front body first, or images or sceneries they are thinking of and trying to visualize gradually sharpen and become "real", which they can actually "see", instead of the fuzzy indefinable sensations one feels when trying to imagine something when wide awake.