Is sleep paralysis when you know you're asleep and want to wake up but you cant?
If so I have only had that once, maybe twice. I still remember it cause it scared the **** out of me. Just lying in bed, knowing you have to get up, but you cant because there something not allowing you to wake up. Really creepy, I 'd rather have nightmares a whole week than experience sleep paralysis again.
Lucid dreaming is something I have been training on for a couple of years now. At first, I just woke up instantly when I figured out I was in a dream, but now I have worked out a strategy of how to keep me in the dream and to not wake up.
Basically when I get to that conclusion in the dream, I play along in the dream's "story" for a while (usually your subconcious guides you where you "are supposed" to go) and then I take small small steps of breaking out of that trail and when I feel secure enough to not wake up, my favourite trick is to put on high jumping stilts and just jump away to wherever

I can really recommend summoning the jumping stilts, they are easily as cool as flying and you dont have to worry about loosing the flight ability and falling down and waking up either, because you always land on them.
Regarding flying, I hate doing that. Thats usually when the risk of waking up is the greatest. Dont know why, but I have never been a fan of roller-coaster, and when I dream I'm flying, that feeling in the stomach is the same feeling I get in the roller-coasters in the real world, so that probably has something to do with it.