1. Should I be scared to lucid dream? I do have a paranoia of demons, and I read in places that if I think of demons in the lucid dream, they will torment me. Now, my mind is compelled to think of demons in a lucid dream to test boundaries.
There's no reason for you to be scared of lucid dreaming. All of the demons, ghosts, etc are just the product of your imagination. And even if you experience them, im sure you'll be able to get used to it after some time.

2. If I get very scared, how do I wake up? I have also read that people have woken up, yet still in the dream. Then woken up again. And again. Like inception.
There are a lot of ways to wake up yourself. Sometimes, all you need is your imagination. Get a gun, and shoot yourself Or how about jump off a cliff, etc. But the easiest way is to not wake up. Come on, it's a lucid dream. There's no reason for you to wake up. Just enjoy the moment, cause sooner or later, your body will eventually wake itself.

3. Is it possibly that I will get this on the first try? I really hope to. This sounds amazing and is exactly what I need to get away from the ordinary life.
Everything is possible. As long as you believe in yourself. But sometimes, it's not always like that. You'll need determination and motivation. Just keep on trying until you achieve your wildest dreams.

4. This may sound a bit inappropriate, but can I have sex in the lucid dreams? I am a 16 year old male, and that would be rather awesome.
YES

5. Can I dream about ANYTHING? There have to be some limitations. This sounds too good to be true.
Nothing is impossible inside a dream.

6. I read somewhere that in order to lucid dream, you must trick your mind into thinking your body is asleep, so it shuts off all functions (such as moving) and you enter a dream, while you're still awake. Does this sound accurate?
It's called WILD. But I suggest you just continue on MILD because WILD is really hard to perform.

Hope this helps