I have never been able to eject from a dream on command either so I am not sure what to tell you with that part. If you become lucid in your nightmare though, try to remember don't panic -- it's your dream now, nothing can hurt you unless you let it. Confidence is always the key. Something new I tried last night in a lucid fight situation may be useful to you if you can avoid the initial eject. I touched a DC's forehead and the goal was to change his intentions (to anything other than kicking my ass)... It worked quite well, he just turned and walked away. I felt like the physical contact made it easier, but in the case of a creepy demon type thing you might opt to mentally project your thought toward it or verbally command it rather than touch it.