I would say that if you have awareness while you do it it would increase the chance of having better lucid dreaming experience. If there's lack of awareness then still you might be able to get good results in terms of vividness of the dreams, or longer dreams. It happened to me that after a long time of having more or less good recall i just got somehow frustrated for not being able to realize that i was dreaming while i dreamt, or if i did loosing it very fast because the activities of the dream distracted me, and that was due to my lack of awareness in daily activities, whatever they were. So awareness is fundamental, for lucid dreaming and for waking life.

By the way i would recommend meditation for either anxiety or depression.
Check the site dhammatalks.org and listen to a short talk to see if you like it, that might encourage you to practice breath meditation. Metta meditation (meditation on goodwill) is recommended for dealing with depression. It is not like taking a pill and the next hour you feel ok, it is a medium term process, but unlike medication you then you don't have to experience the downs for the ups, so it's good if you want to get out of it.