Lucid dreaming occurs when you’re aware that you’re dreaming, giving you the power to control what happens in the dream. It’s also a skill you can learn! Get into the habit of performing this reality check a couple times a day: close your mouth and pinch your nose. Obviously, you won’t be able to breathe. When you do this in a dream, however, you’ll find that you can do this for an infinite amount of time. Now, fly!
Source: 3 Ways to Lucid Dream – wikiHow