I've found that the easiest way to enter sleep paralysis is to focus your attention on something external (e.g., ticking of a clock, sound of your breathing, etc.) as you fall asleep.

Focusing externally in this way has given me a conscious experience of sleep paralysis many, many times (which totally sucks, BTW!). There is nothing more annoying to me than "waking up" to realize that my body is sound asleep, snoring loudly. The vibrations always scare me at first, and even though I always recognize it is simply sleep paralysis I sometimes get irrational thoughts that I am having a brain hemmorage or something. Not cool.

To actually transition into a lucid dream, however, I recommend focusing internally, prefereably on hypnagogic imagery. The transition is smooth, there is no wasting time listening to yourself snore, and you will get much better at initiating LDs as soon as you close your eyes.