A lot of people get really excited the first time they lucid dream, and that wakes them up, so try to stay calm. My experience was actually the opposite: I got so scared of what was happening that I urged myself, "Wake up! Wake up! Wake up!" And it was really quite difficult to wake up!
Anyway, stay calm. Try to control something. Once I realised I was dreaming when I was in my bathroom. I willed the clock there to disappear, and it did! I tried to will it back calmly, but it wouldn't happen. Apparently, my dreams don't want to give me control.
One more thing: Don't try to think of your physical body or physical self. If you wonder, "What position am I sleeping in?" or something similar, you will most likely wake up. In my most pleasant and free lucid dream, I couldn't undo myself from a certain position as I was floating into the air above the wreckage below me (after I drove a car through the brick walls of a mall). I got obsessed with the question, "Am I sleeping in this silly position?" and ended up waking myself up. (And, no, I wasn't sleeping in that position.)
There are other methods of lucid dreaming. One other method that worked for me quite accidentally was the Wake-Initiated Lucid Dreams (WILD) technique. I read the best way to go about this is to go to sleep for a few hours, wake up for an hour, and then go back to sleep. I actually only woke up for a second and then the dream melted into view before my eyes: A room of gold columns and finery. How nice! Of course, then I was accused of "stealing" someone's boyfriend and was chased by a mob...(I became really lucid later in the dream...).
Don't be discouraged if it doesn't work for you right away. Some people can do it naturally without a problem and do it all the time but don't realise it has a name or anything, while others can't seem to do it at all. It took me about four years to have a really lucid dream that I could control with ease, -- or at least that I remember, -- and I'm still not very good when it comes to controlling my dreams. My subconscious and conscious minds are always battling, it seems. I'll often have a moment where I want to change something in my dream, and I do because I realise it's a dream, but then the dream goes on without much or any lucidity. It's actually a strange thing, where I know I have control for hardly a second, and then I no longer think of it that way.
Feel free to diverge from these three steps, if you find something else is working better for you. But these are the steps that, as I've said before, have worked best and most consistently for me.