I have done this before. Actually I do it quite often. If I wake up earlier than usual, I will lay there and visualize stuff. I will imagine how it feels and looks. A few times I forgot that I was visualizing, and was in it. As real as a dream. And then I suddenly think "how did I get here?" Then I remember I am visualizing and 'snap' out of the dream. Any suggustions on how to NOT do that? I forget that I am visualizing and then I am in the dream I was building, not lucid, and then suddenly think of how I got there. Should I just say to myself while I am doing it once in a while that I am visualizing, and will enter a dream lucidly? I hope I can get to entering the dream consciously. But, at least I will be in the dream I was thinking up.
I find it hard to visualize later in the day or when I go to bed. Probably because I am still unconcsiouly thinking of stuff that happened in the day. And maybe someone can answer this. If you do this succesfully, you will be in the dream state, the same as if you had one when you were asleep, which means that after you are in the dream, you are asleep right? So you won't lose much sleep. And, don't you have to be in a REM cycle to have a high-quality dream. Thus, it would be hard to do this when you are going to bed, hours away from REM.

Anyway, great post! I have always wondered about my experiences with this.