Explain to him that his fear is irrational. Most people have a fear of dying, it's a basic instinctual feeling. But, to fear that he is going to never wake up from a lucid dream to the point where he is desperately trying to awake from them and can no longer enjoy them defeats the whole purpose. And even if he was to live out his entire afterlife in a dream as if he is dead or something, tell him its a lot better than going to hell.