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1) I've had tons of experiences with sleep paralysis, and have developed different methods to overcome it, and, in sort of way, control it. I know when I'm having sleep paralysis, and can, with a little effort, get out of it - sometimes it is happening a few times in a week.. It's very different. I would like to ask if sleep paralysis could be linked to lucid dreaming in some ways? Can you progress from sleep paralysis to lucid dreaming in a kind of way?
Yes. Look at the WILD technique, you'll be half way there in sleep paralysis.
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2) Just because I'm a little interested: to the ones who can control their lucid dreams: have you ever tried sleeping and dreaming during a lucid dream? If yes: are you having a lucid dream in that stage too, and how does it feel?
It would be a dream within a dream, I belive you would just jump from a dream scene to another, it'll feel as any other lucid dream