How can you have lucid dreams?

Create a dream journal, that is the main cornerstone for every lucid dreamer. Do reality checks often, try whats called a WILD (wake initiated lucid dream), in your dream journal, write down EVERYTHING and EVERY dream sign you spot, get a watch and check it oftenly, when you dream you can look at the watch, look up, look back down at it and in a dream it should be a different time.

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But, how do you actuall do that? Most people cant just wake up and keep their dream going, they wake up for good.

Follow one of the many techniques like MILD or WILD to induce lucid dreams. Keep a dream journal and record all dreams.
Steps to Improving Lucid Dreaming
1. Throughout the day, while you are awake, ask yourself, "Is this a dream?" anytime something odd happens or even when nothing out of the ordinary happens. The trick is not to answer the question with an immediate "Of course I am not dreaming!". Come up with a consistent way to check if you are awake or asleep. For example, checking the time on a clock and then quickly check it again. If you are dreaming, the time will always dramatically change at the second glance. Or if you are reading something, look away and then read it again. Again if you dreaming, when you look at it the second time, whatever you are reading will be completely different. As you keep asking yourself this question during the day, the question will become second nature. You will ask the question during your dreams. And when you do your check to see if you are awake or asleep, you are well on your way to lucidity.
2. Identify your dream signals. These are objects, images or actions in your dream that serve as cues or markers to let you know that you are dreaming. Anything can be a dream signal and is unique to each individual dreamer. It may help to read through your dream journal and select an image that seem to constantly appears in your dreams. By selecting a recurring image, then it has a better chance of appearing in your future dreams. When you are ready for bed, tell yourself that "when I see an apple, then I know I am dreaming." or whatever dream signal you have chosen.
3. Use your dream signs to let you know that you are dreaming. When an anomaly or something impossible occurs in your dream, instead of ignoring it or trying to rationalize it, let it be an indicator that you are dreaming. Some common dream signs include flying, walking through walls or the appearance of someone who is dead in real life.
4. Finally encourage your lucid dreams, but do not force them, as your efforts may have an opposite effect. It is important to relax and be patient.
As you improve your lucid dreaming, you can even learn to "write" your own dream scripts. Your sense of smell and touch will become heightened. Before going to bed, tell yourself what you want to dream and what area you want to explore.