Yea, usually trying to just go through solid objects doesn't work too well for me. I try the indirect approach, like turning around and imagining a window or door to open somewhere, THEN try flying. Or even just levitating is enough for me. I kind of see the walls and ceilings in my dreams as signs that I'm confined within my dreams. I mean, I can't remember a single Lucid where I didn't want to be outside at some point.

Also, as other people already said, closing your eyes is usually a bad thing. Try and focus on where you're going actively, that way you know exactly where you're levitating to instead of into the white void OF DESPAIR AND NO RETURN! (lol)