Hello, welcome to DV and welcome to lucid dreaming 
It is completely normal and common for peple to experience what you just mentioned. Staying aware in REM atonia can be quite disorientating what with the sensations and possible hallucinations, especially if you have a wild imagination. What you're asking is basically "how to WILD". Wild is Wake-Induced Lucid Dream. It is when you go from a waking state to the dream directly without any lapse of consciousness in between. The transition between those two states is most usually what is associated with those hallucinatory and sensational phase. The reason I say 'most usually' is that some people may not notice the transition, perhaps because they have learned to focus deeply on the dream itself that they override the fear and emotions that could come along with the transitional phase and its sensations.
I guess the first step is to practice convincing yourself that it's all okay when it's happening, that you're safe and all the emotions and sensations you feel are just magnified in your mind. I mean I know this sounds pretty basic and obvious, but trust me, it's completely hard to convince yourself this while it is actually happening.
If you are interested in practicing WILD, I suggest going through the lessons here: WILD
It's very in-depth and informative and I suggest you read that before you read other user tutorials around the forum 
Good luck!
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