Heya, Rob, just want to add my welcome to the mix. There's a great bunch of people here, and a top-notch crew of Dream Guides, so kick off your shoes, make yourself at home, and don't hesitate to ask any questions!

And just to reiterate what Joe said, it's very common to wake up as soon as you become lucid in a dream. Joe's advice is right on the money -- when you realize you're dreaming, just remain calm and try to involve your senses in the dream -- look at things closely (looking at your hands is usually good for a laugh), touch something, taste something -- you get the idea. If you have already experienced lucidity, however brief, "many many times" as you said, then learning to stabilize the dream and ultimately control it should not be terribly difficult for you.