This is actually what your body does naturally, even with non-lucids. You don't dream continuously, you wake slightly then sink bank into a new dreamscape. Most people just don't remember it, and aren't aware enough to really wake themselves.

Even so, this is a valid technique that's come up recently (I think). It's called Dream-Exit-Induced-Lucid (DEILD). You can find a tutorial here:

http://www.dreamviews.com/community/...ighlight=DEILD