I haven't experienced an awareness when my dreams change, but when I'm awake I remember the fairly obvisous changes in my dream story-lines. I'm not sure if you can feel the actual transition because after REM cycles your brain returns to a deeper sleep where you can't have dreams. If you look at the whole sleep cycle, you can see what kinds of brain waves are given off and only during REM are dreams possible.

That would be kind of interesting to experience, tho. I usually wake up at least once, normally after my first REM cycle.

BTW, welcome to the forum and sweet lucid dreams!

-Amé