While it is very hard to generate a lucid dream directly from the waking state when you first go to bed, it's much easier to have a Wake Initiated Lucid Dreams (WILD) when you wake-up in the early morning or even when you take a nap in the mid-afternoon. To induce a conscious dream from the waking state, and especially when trying this during a daytime nap, you must first completely relax your body.
When you're completely relaxed, lie comfortably on your back. Lift one hand and forearm until it's pointed upward, held perpendicular to your upper arm. Keep your arm up while you fall to sleep. When you lose conscious awareness, your arm will fall back down to the bed, which will probably wake you up. When this happens, do the method again. This is to train yourself to keep your conscious awareness as you transition into the sleep state, to keep a perfect balance between a sleeping body and an awaked mind. Eventually you'll be able to stay mentally awake long after your body has fallen asleep.
Another method is to perform a mental task as you fall asleep. It can come as a surprise, but something as easy and as repetitive as just counting sheep can help. Counting your breaths also works. The goal is to keep counting while you fall into the sleep state. As long as your conscious awareness stays active, the odds of having a lucid dream increases.
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You can combine counting with the "I am dreaming" affirmation. As you count, think, "One. I am dreaming. Two. I am dreaming. Three..." and keep counting in a gentle, relaxing manner. As you fall asleep, keep your conscious awareness as long as you can, but don't concentrate so hard that you can't fall back to asleep.
Keeping your mind in a specific visualization can be even more effective with Wake Initiated Lucid Dreams because it gives the mind a ready-made scenery to turn into a dream. As you lie in bed, visualize what you want to dream about. Keep your conscious awareness while you observe the details of your visualization, even as you fall to sleep. Keep thinking the "I am dreaming" affirmation as you visualize, and eventually that visualization may become a dream, a lucid dream. If you think you're body is asleep, but you're n no dream, yell out in your mind, MAXIMUM CLARITY NOW. You mind will then start the dream by for example, giving you an awesome five second sun rise creating the dream world.