I normally count each REM stage and I don't normally remeber anything the first one or two. I get lazy a lot so my recall isn't normally that great, but I have had really good recall at other times.

All them little dreams are normally connected. You need to have good recall and go through the dream in your mind to catch it though. If its bad you might not even remeber they where in the same dream stage. Say the dream you had last night, you where in the house, maybe you looked out the window and saw a forest, then your inside the forest. Thats all it takes, a short glance and your in a new area. Then since its connected I don't really count it as a new dream.