surprised no one has said...
KEEP A DREAM JOURNAL!
this is most important step to lucid dreaming. try to remember any details you can and write them down. how many fingers do you have? do light switches work? does it hurt when i do something painful? things like that you need to try to ask yourself when you are dreaming and answer truthfully. keep an eye out for recurrences as these will be your queues that you are lucidly dreaming. write them down as well. my queue that i am lucidy dreaming is light switches, they will not work. same for electrical outlets. if i unplug something and it still works, i know.
if the dream journal isnt working out you can induce lucid dreaming by using those supplements posted before and by utilizing an alarm clock... set your clock so youll be sleeping for two hours. when you wake up from the alarm immediately turn it off and go back to sleep while convincing yourself that you are still asleep and still dreaming.
everyone is different though. some people just have it naturally, some people (like me) have to train. it took me nearly a month and a half of daily journal entries and some pretty intense studying of the journal before i was able do it. and its one of those things that just comes to you.