Well the first thing that would come to mind is that you haven't "unlearned" the laws of waking life in your lucid dreams. At first it's very easy to know that your dreaming, and even know that impossible things are possible there, yet still be unconvinced enough for it all to not actually work out.
Next time you're in a lucid dream, think about gravity. Is there such a thing in a lucid dream? Of course not. Then why are you standing on the ground? Why do you not just float around? How can you walk, or stand, or sit? All because that's what you expect to happen. So if you want to fly, for example, just expect yourself to fly the same way you expect yourself to walk. There's no difference.
The same applies to objects. How can you feel them, or touch them? How can they keep you from going right through them? They don't exist, so again, it's just because you expect all that. But you expect to be able to move through open space, so you have no trouble there. Expect to move through objects that same way, and bingo, you go through it no problem.
In the words of a kid in the Matrix: "Do not try and bend the spoon. That's impossible. Instead, only try to realize the truth. There is no spoon. Then you'll see that it is not the spoon that bends, it is only yourself." Once you really grasp that, you'll have very little trouble with putting your finger through your hand...or doing any other form of dream control 
Ok, long talk over now...check out the tutorials for reality checks and increasing lucidity, but the things that I hear work the best for everyone (and I know they work the best for me), is #1, pinch your nose and try to breath in as a reality check. Obviously, in a dream, you'll be able to breath in just fine, but in real life, you won't be able to at all. #2, rub your hands and/or spin around to increase lucidity. The sensations caused by both really pull you into the dream and make it clear and vivid, not to mention longer lasting. I hear shouting "INCREASE LUCIDITY" works too, but honestly I've never tried it.
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