I have a lot of experience about this, both lucid dreams and out-of-body experiences (which is about the same, only variations in consciousness).
The key is to be mentally aware/focused in that moment the physical body falling in sleep, or that in a dream realize that you are dreaming and you wake up mentally in the dream world. The feel ing to see your own physical body laying in the bed and sleep can be a scary moment (if you have the curage to "go" and see yourself) but this kind of experiences are for me one of the essence in my life, even beyond cubing
There is a good tip for anyone who maybe can be interested; to ask yourself many many times in the daily life "do I dream this, am I in the physical world or not?", but not asking just for asking, but asking with mental focus in it.
Soon or later you will ask the same question in the dream, and the result is....wow!