You do not necissarily have to be lucid to call it quits in your dream. All you have to do is take the risk of killing yourself in a dream in order to wake up, as in jumping off a cliff or something, because stabbing or shooting never works.
What could be a good idea is to say "screw this" and then jump. If, in the event you are awake and you do this, I am in no way held responsible for your ass-baghood.