it takes practice and once you start you can't stop.i wrote down my dreams for a couple of weeks,did reality checks to see if i am dreaming,and eventually was able to say and do what i want in my dreams but i didn't know i was dreaming.i thought it was real.i stopped for about a month and lost everything.i have been writing my dreams down again for 4 days now.i write keywords to remind me of my dream such as "sports car" "war".whatever i dreamed about i put the words together and remember almost everything.
It's not something you can just pick up in one night, it takes weeks of practice.
Here is a website dedicated to teaching people how to lucid dream: http://www.lucidipedia.com/
My tips:
Every morning, write down any dreams you remember having. If you don't remember them, then lucid dreaming is rather pointless.
The earlier you go to sleep, the more time you have for REM sleep (dreaming stage).
Check lucipedia's forums to see what methods work for others: http://www.lucidipedia.com/forum.php?section=viewforum&f=6