I'll answer what I can

Sleep Paralysis, from my personal experience, doesn't hurt. The best way to describe it, would be as a wave of warmth spreading throughout your body, and heaviness/numbness across your whole body. It does however differ between people so you may experience something completely different.

I haven't had many lucid dreams, but you can do pretty much anything! If you can imagine it, then chances are you can do it in a dream haha

I'm not too sure about what you mean about the world not ending in a lucid dream - if you mean can you stay in a lucid dream forever, then not really. The dream world only lasts until you wake up, but you can 're-enter' a dream after waking (This is actually one of the techniques here on the website for inducing a lucid dream).

I'd also make sure that your dream recall (ability to remember dreams after you wake up) is up to scratch too; it kinda defeats the purpose of having a lucid dream if you don't remember it happening

If you're still looking for more information, there's a huge amount around this website, and I'd also recommend Stephen LaBerge's book, 'Exploring the World of Lucid Dreaming'.

I guess all that's left now is to say good luck with your dreaming!