I taught myself to lucid dream a few years ago.
I used two main methods. First, you start a dream journal. Each morning you jot down your dream from that night. You have to try and not force it, if you wake up too much you will forget your dreams. Just lie in bed and review the dream loosely in you mind. After you have done this for a few weeks you can start the second step.
Secondly; start some kind of ritual to see if you awake. (kindof like inception, although it was a thing LONG before that movie.) Throughout the day, do something to make sure you are awake. A little pinch, a certain way of closing your eyes. If you do it often enough during your waking hours, you will begin doing it in your dreams. And since it will feel different, you will be able to determine if you're dreaming.
It does take alot of practice, but it's really fun once you've learned.