Don't be discouraged. Almost all of my OBE's happen after I've already fallen asleep. Either I realize I'm dreaming and project from there, or my consciousness snaps back to my bedroom (without my body awakening) and I project from there.
The key to gaining lucidity in your dreams is to stare at something. If you can consciously stare at something while dreaming (whether it be a watch, a book, a car, etc), you'll start to gain incredible clarity and awareness. THe key, of course, is remembering to stare at something in the first place!
What many people do is give regular affirmations all throughout the day. For example, they may touch a solid object every hour to see if they can pass through it, saying to themselves, "Am I dreaming?" Pretty soon, this carries over into your subconscious mind, and you find yourself doing this in your dream. You can use it as a gateway to becoming lucid.
Personally, what I do is practice maintaining awareness as I lay down at night. I keep my intent in the forefront of my mind. That way, if I drift off to sleep, there is a good chance that I'll 'remember' sometime during the night, and start to project.
Best of luck.
Keep smiling,
Jeff Mash
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