I don't think that's possible. Dreams are seperated by long periods of deep sleep, during which it's generally regarded that we don't dream, or if we do, those dreams aren't vivid enough to allow for lucidity. Since you can't remain lucid through the periods of deep sleep, you couldn't make them all part of a single lucid dream.

However, it is possible to become lucid in all of those dreams, and then perhaps you could return to whatever you were doing at the end of your last lucid dream, but there's no real technique I know that makes that easy, you just have to become very good at having DILDs.