WILD
Wake Induced Lucid Dreaming
Note: This is a technique that requires practice and patience!
Once mastered, it is often considered the best and/or most powerful method.
Get Ready
Keep a good dream journal.
Find "dream signs": stuff that occurs frequently in your dreams.
Have solid recall. Lucid dreaming is useless if you don't remember it!
Procedure
Find an anchor. Your WILD anchor could be something that makes sound or a small object you can hold in your hand. Examples of these include a fan or noise-maker, music, the smell of your mom heating up a hot pocket in the microwave, or a stuffed animal.
Use the anchor by considering it, paying some attention to it, as you fall asleep. From here it's a balancing act: stay aware of your anchor, but let yourself sleep.
Ignore hypnagogia, which is a hallucinatory stage during nREM. You might hear or see things that aren't there. Just ignore them. Keep attentive of your anchor.
Ignore sleep paralysis (if you have it). You probably will not experience this, because it's a medical condition. If you do, however, pay no mind to it. Keep attentive of your anchor.
Notes
Don't torture yourself or worry about anything in this practice. Be comfortable.
Don't worry about falling asleep too soon: let it happen, you need the sleep. Even if you lose consciousness during or before hypnagogia, you may still regain it by the time the dream starts.
Remember your goal is to lucid dream. Hypnagogia, for example, should be ignored as it is not your goal.
WILD can be done alongside other techniques, such as MILD.
The biggest benefit of this method is that, when successful, you are lucid immediately! This provides you with the longest time in your dream.
Be wary of false awakenings. If you think you've woken up, perform a reality check!
Further Information
"A Modern and Easy Approach to WILD," Mzzkc's article on Enter The Mist
Also try: Wake Back to Bed
Also consider: DEILD (Dream Chaining)