How do you lucid dream?

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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.

Excellent question. There are dozens of way, but for a beginner, i recommend the MILD (Mnemonic Induction of Lucid Dreams), technique this is the simplest and easiest to learn type of lucid dreaming.
Before i get into it, let me tell you some pros & cons
Pros: Easy, Once you do this the first time you've done it correct, and will get easier and easier.
Fast, Doesn't take much time unless you Don't stick to it.
Cons: Requires devotion - start slacking off and you'll stop doing things that get you lucid.
Chances - Since this isn't a advanced technique, you'll get a lot of results the better you get, but you won't always get lucid.
So here's what you do.
1. This is a very basic thing that you must do. Reality checks. What is this you ask? Well it's checking weather or not you are sleeping. For example, and in one of my cases, Something impossible happens lets say, Fish are flying in mid air. Once you notice your brain will say "That can't happen." But you can't go lucid like this alone, much less often. You can't hear your brain speaking to you very well. Once your brain signals you in sleep, you will do your dream check procedures. Make up your own, but these are recommended, and are usually 90% effective (By my estimate. Hold your nose shut and try to breath. Unless you have holes in your nose, you'll breath through them even when closed. Do i while reading this, did yo breath through them or not? If you did, you're dreaming. Look at your hands. Common times they will be missing fingers, or will be reverse. Check right now. And finally look at an object and see if anything on it changes, like a poster, see if the text changes, or a person or something. DO NOT use clocks. They change numbers and may make you think you are not.
2. form a schedule- Well this is done one of 2 ways, everyone and a while, like an hour, or whenever something suspicious happen (Like flying fish), I would recommend a mix of both for maximum potential.
3. Sleep time- If you go to sleep and wake up in 9 hours, or a few minutes, you will probably not remember any dreams. Don't think you just didn't dream. Everyone dreams every night, but as life goes on they forget their dreams, and so the night just appears blank. Try this: Set a timer to go off at a predesignates time, like 5 hours, 6hours, 4 hours, 7 hours, anytime you feel comfortable with, when you find the right time, put it down on any device that has an alarm. But! Put it on an alarm that goes off by its self after a while. When woken up, stay absolutely still. Try as hard as you can to remember ANY dreams at all. By the way, as you do Dream recall sessions more often, you may find that 1 night might have several dreams, 1 dream cuts off and an other one starts. This also opens up opportunities for WILD technique, but you'll get into that later.
4.Dream recall- You should start doing this to remember your lucids first, weather or not the dream was lucid is not important. Make a journal, online or on paper, and write down your dream, don't write down the most epic novel at 4 AM in the morning though! You can do that when you've finished sleeping for the night. For the Mid-night (Not midnight, this can happen anytime) awakening, just write down key concepts, like people, phrases, and most importantly --
5.Dream signs - Reoccurring things that happen in dreams that are otherwise impossible in real life, flying fish, purple hippos, swimming birds. Though weather or not it is impossible is not necessary. It can be people, fictional characters, phrases, places, anything! Recognise your dream signs and you will most likely go lucid.
This is the most basic way i can tell you this, but if you want i recommend going to to see more tutorials.

Keeping a dream journal will only help you remember that you have had dreams, and perhaps help your memory. Many people who feel the need to increase or induce lucid dreaming tend to do so for purposes of spirituality, to increase creativity, personal inquiry, etcetera. Personally, I find asking myself "am I breathing?" as opposed to "am I dreaming?" to be more effective and grounding. It comes down to your diet, health and breath work.

If you want to lucid dream consult your primary care provider or a neurologist about supplements that you can take that will increase the likelihood of lucid dreaming. Such supplements include but are not limited to: Zinc, Copper, Vitamin B6, B12, melatonin (tryptamine), huperzine (increases focus, but do not take more than the recommended doses as you might have headaches later), potassium, etcetera. You may also want to take such supplements on a light stomach before sleeping, with a slice of lemon, lime, or other alkaline. It may take a few days to notice the effects. Nicotine taken shortly before going to sleep can also increase lucid dreams, however I would personally advise against it as Nicotine is a neuro-toxin, and has the potential to trigger unpleasant dreams. Getting outdoors, exercising, practicing yoga (especially Kundalini), meditation, controlled breathing exercises, etcetera also induce lucid dreams. I recommend the supplements that I previously mentioned along with kundalini yoga as they increase the health of your pineal gland (what yogis refer to as the Third Eye chakra), along with other glands and the body's overall circulatory system. Increased blood flow to the brain keeps it aware and prevents too much deep sleep.

You may want to also consider doing stretches just before resting, and getting into a comfortable position that you are able to breathe very easily in. Avoid loud noises and distractions during your attempts, while focusing on your breath work. If you are not breathing or if you exercise too hard (lift too much weight, over exhaust yourself in running, or are otherwise injured) you might not lucid dream but go into a deep dreamless sleep.

There are also various dream herbs and teas that one can purchase throughout the world, however even these are not a guarantee for lucid dreaming as it depends on preparation, dosage over time, and one's health. Then there are also ways to trigger such lucid dreams that are not safe without a controlled environment such by fasting or skipping a night of sleep which causes the DMT within the pineal gland to over accumulate and flood your mind the next night- but note that this is not advisable as it does harm your body and mind if done too often. Fasting is effective because it makes the pineal gland release more DMT during sleep because your body will think that it is dying, and death or near death experiences usually trigger massive releases of DMT throughout the body thereby triggering Out of Body Experiences and/or Astral Travel. There are also methods of preparing DMT from various plants for consumption, although this is only legal in particular religions and medical labs- and these cases do not involve lucid dreaming so much as waking hallucinations.

Also, there are people who claim that sleeping on beds with frames made of copper or metals with similar properties tend to have increased inductions of lucid dreams. However, I have not looked into this much and dismissed it as an old wive's tale. I believe this theory or claim is based on an idea that the human body works much like a conductor of electromagnetism and that the copper somehow increases or spreads one's aura body which acts as a type of field around the human body. It might be more of a placebo effect, however I have not studied this personally.

Again, I advise against nicotine, fasting (unless you are with someone who can respond appropriately in the event of an emergency), and skipping sleep. Skipping sleep may have long term detrimental effects to one's health provided that some people who skip sleep for more than 3 nights report visual and/or auditory hallucinations while asleep. You may also want to reconsider your diet to see if you are eating enough vegetables and fruit- you want to make sure you have fat in your diet, but you have to make sure you are getting no more, and no less, than what your body requires based upon size, gender, blood type etcetera. If you are feeling sluggish and/or bloated, you might want to consider whether or not you are adequately stretching, exercising, and whether or not you are getting too much or not enough nutrients.

Also, if you do fast consult a doctor, your clergy and/or perhaps a yogi to ensure you do not jeopardize your life, that you are doing it for the right reasons, and that you are breathing properly. If you do decide to fast, make sure that you are not straining your body through exhaustive work, that you regularly meditate, monitor your glucose levels, and that when you decide to stop fasting make sure you consume a high protein diet to help repair your muscles and the body's overall synthesis of amino acids. If you get your protein from animals as opposed to whey, soy, etcetera make sure it is lean. I personally tried fasting for six days and nights and had lucid dreams and out of body experiences on each attempt after the first night... but it is not for everyone and should only be done when you have time off from work. The astral projections/travel are indeed more interesting than lucid dreams provided that you are able to move through certain doors and walls, and is something that I hold sacred within Gnosticism and yoga.

Finally, after you have looked into all of the previously mentioned methods you can always try these final two methods:
1. Consult a hypnotist- if you are able to hypnotized you will be able to lucid dream, or at least control your lucid dreams, via hypnotism.
2. Purchase a REM Dreamer Lucid Dreaming Induction Device- and read the instructions before attempting to use it for better results.
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