Mine happened by accident.. but it was so strange. I was kinda almost asleep when I realised what I was thinking about seemed really fuckin real. And then kinda freaked out and slipped into some sort of sleep paralysis.
The reason staying asleep is so hard is because you're becoming familiar, almost conscious, of your dream, actually pulling you out of it. It takes a lot of practice and you can't press too hard too early, or you'll end up waking.