I would never wake myself up during lucidity. It's just too interesting to let the moment pass you up. However, if you know you're dreaming you can force your (real) eyes to open. That is if you can feel them or sense your real body. It can be difficult or sometimes painful, a bit of a struggle but it does eventually work. Other ways are trying to force your real body to move or roll over. This means you have to be in part dream and part in your bed. I guess if you're just lucid and only sensing your dream body then these methods won't work right. Try getting really excited, that usually always wakes me up when I don't want it to.

Hope that helps a bit.