I learned lucid dreaming from the T I had in High School. I was self harming at the time and had horrible nightmares. It really helped.

Keeping a dream journal is excellent. Make sure it is right next to your bed with a good writing implement. Easy access when you first wake up is key. Don't worry about spelling or penmanship. Expect most of the entries to be shaky writing, that's ok. In fact, when you go back the odd words and style of writing can have great meaning.

The key to lucid dreaming is to put an image in your mind that doesn't happen in real life, such as a purple bunny. Every time you go to bed tell yourself "If I see the purple bunny (or whatever image you choose) I will know I am dreaming." After a while of doing this you will have a dream with the image in it. When you see it in the dream you will know you are dreaming and can start to change things. You will be in lucid dreaming state.

I have had many lucid dreams. To stop my nightmares when I was younger I would fight back, or just change things altogether to something nice. For instance there is one that I remember that I was being chased on a beach by someone. I realized I was dreaming and turned around on the chaser. I created a box in one hand and a fire extinguisher in the other and just started beating the chaser on the head.

Another I had recently, I just realized I was dreaming when I got really scared and screamed myself deliberately awake. Then I watched a movie to make my self feel better.

It doesn't always work perfectly, but it works. Good Luck