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So I just go to my room, and sit on my bed in the dark and don't worry about a thing and think of being in a lucid dream for 5 minutes, then lay down and repeat that I am in a lucid dream?
Telling yourself before sleep that you are dreaming is called mantra. It's just one part of the MILD method. But basically, yes.
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1. Should I be scared to lucid dream?
If you practice method called MILD, there is no scary stuff involved while falling asleep. You can experience some weird sensations and hallucinations when doing method WILD. In a Lucid dream itself - you may encounter some not so pleasant things, but so can you in a regular dream. Only this time you will be in control. Some lucid book authors recommend getting rid of scary creatures by sending them love and understanding.
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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.
If you think you have woken up, but a reality check tells you otherwise, that's false awakening. Many take it as another chance to lucid dream.
I usually wake up by thinking of my sleeping body. But I'm yet to be in a situation, where I want to wake up.
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3. Is it possibly that I will get this on the first try?
Absolutelly possible. Depends on how much enthusiasm you have, how much you are happy about this incredible possibility. Later on, it will rely mostly on practicing the technique. I got my first one after less than half a day of looking at my hands in disbelief and asking myself, if I'm dreaming. I answered 'no' and said 'next time I'm dreaming, I look at my hands and realize I'm dreaming'
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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.
I'm not 16 and I'm not a male. And the answer still is 'rather awesome'. It's common knowledge that having lucid sx wakes you up, but I wonder, If I had woken up too soon, have I not read that so many times. So just don't think of waking up too soon as a done deal.
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5. Can I dream about ANYTHING? There have to be some limitations. This sounds too good to be true.
This is probably the only thing that sounds too good to be true and it acctually is true.
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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?
This is a WILD method. In WILD, as you falling asleep, by not moving, you trick your body into thinking you are asleep and your mind starts dreaming. And since you are awake, you are aware of the whole process. You can even visualize what dream you want to have, or pick one of the 'ready made' dreams presented to you courtesy of you dreaming mind.
In MILD method, dreams are called DILDs and you go to bed normally, have a regular dream and in the dream you realize, you are dreaming. That realization is an incredible feeling that can not be duplicated by anything else.