Oh man, now you opened the can of worms. :D
Lucid dreaming, if you didn't know, is just being aware that you're in a dream, while you're dreaming. It's one of the most amazing feelings in the world in my opinion.
You asked how you do it, well, there are several different methods, and a pharmacy full of things that can boost your chances of having one, or help you stay in one when you have it. (Most aren't harmful or addictive. The only one I can think of that is is the malaria drug, and maybe nicotine patches).
Anyway, there are 2 main types of LD. The first, and probably the easiest, is called DILD, which stands for Dream-induced-lucid-dream. That's where you become aware you're dreaming while you're in a dream. It relies a little on luck, and a little on preparations you do in waking life, such as questioning whether what's going on is reality, or if it might be a dream. These "reality checks" can be done all kinds of ways. Some people try to stick their index finger through the palm of the other hand. Or, you can just look at your hands. (Often in dreams, they'll look strange, too many fingers, or something). Looking at a clock is another way. (Clocks are often strange in dreams too, and if you look at the time twice, you'll often get different readings). There are others too, and if you question reality enough IRL, you're very likely to do it in a dream, and then if the reality check fails, you know you're dreaming, and there you are, you're lucid.
The second, harder way, is called WILD, for wake-induced-lucid-dream. This requires some discipline. You basically lay in bed and try to keep your mind aware as you fall asleep. You'll go through a "transition," and often will see or hear various imageries, (see below), and then you'll be in some kind of dream-scape. (For many people, it's the room they're sleeping in). If you've managed to hold on to consciousness, you'll be lucid. This has to be done late in the sleep cycle, such as the early morning, since you don't dream when you first fall asleep. It helps to do what's called a wake-back-to-bed, WBTB, where you wake up after sleeping for 5 or 6 hours, then stay up for an hour (at most), doing mild mental gymnastics, like reading, or math problems, or thinking about and visualizing what you want to do in your dream, and then go back to sleep. Your chance of lucid dreaming goes up considerably wth this technique.
A warning about WILDs: The process of falling asleep is unlike anything in waking life. For some people (Like me, luckily :D) it's exhilarating, sort of like going down the first drop on a rollercoaster, but much more intense, and the feeling fills your whole body. For other people, it's horrific, and they feel like they can't breathe, or they see demons sitting on their chest, or old hags in their room. Of course, none of it is real, and these things happen
every time you go to sleep, it's just that you're normally unconscious and don't experience it.
Like I said, there are various drugs, like Galantamine, Choline, DHEA, certain amino acids, and others that can help your brain be more aware as you fall asleep, or after you already are. Nicotine patches are
amazing, not for helping you get lucid, but for helping you remain in the dream once you become lucid (many people have a problem with waking up upon getting so excited to realize they're dreaming).
I could talk for days about all the stuff I've learned about LDs. Like how to remain in the dream without nicotine, how to change your location, techniques for flying, or passing through walls, space travel, etc. I have a dream journal over at MortalMist.com, and another at Dreamviews.com that you could peruse if you like, or maybe I'll post one of the more memorable lucids here.
I should really get back into it. I miss it.