Hello there, Lucidian, and welcome to the forums.

To satisfy your curiosity, yes, you must actually be asleep when you lucid dream. You can go directly from the waking state to the dreaming state, which is called WILD (Wake Induced Lucid Dreaming), but you actually have to fall asleep to have a lucid dream. For it to be a lucid dream, you have to be both asleep and know that you are dreaming at the same time. There are several methods of achieving this, all of which are outlined in the DreamViews wiki under DV Tutorials. I'd suggest you try Dream induced Lucid Dreaming first.

Well then, I wish you the best of luck with having your first lucid dream.