I just started on this site a few weeks ago and had my first lucid after a few days. This was more down to luck though so I wouldn't expect to see results immediately. Personally I believe it is all about finding the right technique. Originally I focused heavily on WILD but it just wasn't working and I got really annoyed. I seemed to be much better with DEILD though so I wouldn't get too annoyed if a certain technique doesn't work.

As to how good it felt, amazingly realistic. I did so many Reality Checks because I just couldn't believe that it was a dream. For me it's well worth the effort and once I start to get good at dream control I suppose they will become even better. Again though, I'd imagine this too varies from person to person and certainly from dream to dream.