In Denmark we don't have a term either. I'm not aware of any literature or articles in danish on the subject.
If I'm explaining it to others I'll say "bevidste drømme" It means conscious dreams, just like the swede mentioned earlier. But that would be a translation of "Lucid dreams" and not "Lucid dreaming". Lucid dreaming would then be "bevidst drømmen", but that sounds a bit weird to my ear.
To myself or the few people who knows about it I simply say "Lucid drøm"

-Strit