I would suggest trying a mantra while you're awake during the day to remind yourself that you are faced with something scary, try to remind yourself that it's a dream, and you would prefer to face the nightmare, rather than wake up.

Best example I could give... people in dreams pointing guns at me always woke me up. So during the day, I would think to myself, "I don't feel pain in my dreams, I would like to face down whoever's holding the gun and see what getting shot might feel like." It came up, I got lucid, commanded the character to shoot me, and it felt like a small and annoying headache Nothing terrible at all

Being chased is another scary dream of mine, so lately I'm trying to remind myself to realize this as a dream sign and to ask my attacker why he is chasing me. I'd like to know what my dream will tell me, then