First: We don't get lucid in all our dreams. Not even the most experienced of us.
Secondly: You shouldn't be embarrased, that you didn't get lucid. I've had dreams where I had sex with guys, while other people were watching us, and I didn't even think about it being a dream. I enjoyed it.
Even in the most extremely unrealistic and crazy dreams, you don't just go lucid. Lucids often come spontanously.

There are lots of techniques, and I suggest that you just check out the forum, random threads and topics. You might find what you need.