Yes sometimes, I used to be able to do it a lot when I was younger, less so now. Sometimes I am just lucid in the dream but can't really control it and sometimes I can only change little things, but occasionally I can change the entire dream :)
Every dream I have are ones I control, but it's a setting I get to move through, and it seems I'm always in a life and death situation. I guess it's my addiction to the Hunger Games, so maybe think about something until you finally sleep.
For me its easy because i just focus on anything lets just say hmmmm.. An alien a very sexy alien i dont think about anything else just on her and the rest is magic ... A dream that i dont want to ever wake up from
Okay first keep a dream journal, Dream journals help you remember what your dreams are like and so you can recognize when your dreaming or not dreaming. Thus your mind is more in control. Now (I learned this from inception) keep a totem (an item close to your heart) where only you know the exact measurements to and etc. all personal information. Whenever your dreaming, the item will always show up. As long as it is important to your heart though, special things always show up in dreams. The guy in inception had a spinning top as his totem, and it was really cool because he knew when he was dreaming if he spun it and it never stopped spinning! -don't take my word for it though o_o-