From the lucidity institute (http://www.lucidity.com/slbbs/index.html):

Figure 3. Voluntary control of respiration during lucid dreaming. LaBerge and Dement (1982) recorded three lucid dreamers who were asked to either breathe rapidly or to hold their breath (in their lucid dreams), marking the interval of altered respiration with eye movement signals as shown in the figure. The subjects reported successfully carrying out the agreed-upon tasks a total of nine times, and in every case, a judge was able to correctly predict on the basis of the polygraph recordings which of the two patterns had been executed (binomial test, p < .002).

...

all skeletal muscle groups except those that govern eye-movements and breathing are profoundly inhibited during REM sleep

So yeah, that may actually work. Im not sure that it's as easy a test though because it would take longer to test in real life, and you may find you spend much of your time passing out in the street

Another point is holding your breath in a dream for an extended time may actually wake you up, from what i understand people with central sleep apnea wake when they stop breathing during the night. Either way its an interesting approach.