Well, I don't. I've been reading a lot about dream signs and reality checks, but in all three my LDs so far (including the one I had as a child), when I realize I'm dreaming, it doesn't seem like there's a concrete reason, like a failed reality check. I seem to "just know" (sometimes in a dream I know something about the environment that nobody told me, I think it's rather common). Then I (automatically) exclaim "This is just a dream" or "This is my world" or something like that.
I wonder whether most people remember the reason for becoming lucid or not...