I have experience with lucid dreaming, picked up a few tricks etc in relation to controlling dreams. It works sort of like the Matrix where you have to unlearn the rules and restrictions of the physical world "Do you think that's air you're breathing?" sort of thing.

For example, lets say you want to fly around, this is completely unnatural to us, but if you "swim" through the air, it comes a bit closer to a real world experience (swimming) and thus easier to comprehend.

I've always been a natural lucid dreamer, but its faded with age. In a dream I would suddenly realise "this is a dream! I can do whatever I want" this would give me maybe 30 seconds before the excitement would wake me up. Over time I learned to extend the lucid dream, control it better, but its a long, slow process. You know the wall doesn't exist and its just a dream, but to walk through it? not so easy.

If you've never had a lucid dream, there are ways to trigger one, but I don't know about this from personal experience as I have had lucid dreams all my life.