The best way I could think that you could start is to spend a little time each day during your waking hours daydreaming about whatever kind of world that you want to participate in. Think of the locations, the people, the storylines, and just sort of spend some time each day imagining what it would be like.

If you really stuck to it and kept it up I could see it eventually carrying over into your dreaming life.

I agree though, it would be cool.