I've had at least two experiences with SP... The first one happened several months ago: I was lying in bed, my room is almost completely dark, but I could make out a Slenderman-like creature across the room. At first, I couldn't move and was terrified, but somehow I managed to remain calm. I blasted the figure with a burst of dark energy with my mind, and after that I gained control of my dream body. (More details about the dream here if you're curious; it's my Lucid #8)

Another one happened 2-3 weeks ago. I 'woke up' to a bright morning, there are no creepy things around my room but I couldn't move. That time, I wasn't scared because I thought that it was my chance for another lucid dream (well, I was technically already lucid then but still...). I tried to roll out, but a magnetic force drags me back to bed. I tried to get up as usual, but I couldn't lift a finger. Suddenly, one of the cabinets opened, and it is filled with some dark cloudy thing. The thing hurled itself onto me, then I woke up for real. My reaction was more of a 'lolwut' than genuine fear.

I know almost zero about the science behind sleep paralysis, but I consider it just another type of dream-state. I think this realization that it's just another dream, and that any figure that may arise isn't real, helps a lot with avoiding letting the fear get to me.