I don't know if this happens with everybody else, but when I started taking notes about dreams I had on each awakening during the sleep period, I found myself naturally falling into a rhythm of going to sleep and then waking up after most of my REM periods. So now I go to sleep, progress through a sleep cycle, have a dream, and almost always automatically wake up after it. This way I get lots of opportunities per night to note what just happened (great for recall), regather my self-awareness, and keep a reminder on my mind to recognize the next dream as I fall back asleep. I don't have to lose too much sleep or mess myself up with alarms.