What Puffin said. I'm pretty sure you can end up in SP from a Lucid though. If you're having a very unpleasant one and force yourself to wake up as fast as possible, without letting the dream slip slowly.

SP's are just totally amazing though! Last time I had one, I knew everything was in my head, and I just enjoyed it while my Gf pushed my head down towards the pillow, suffocating me while screaming in my ear.

The only way this can be dangerous is if you're mentally sick, and let some crazy experience take over your life. It's all safe and sound!