Welcome to the forums! This place is great, and if you stick to it, you'll be a pro in no time. 
It is very fun indeed. It can be used for fun, creativity, self exploration, and so much more.
Yes, it is fine for you to have music playing. You can actually use this as a dream sign. You could be in the dream and hear the music playing, and it would trigger you to think you're dreaming. Some people use specially made songs for this, even!
The first time I ever heard of lucid dreaming, I had one that next night. This beginner's luck is common though. I then forgot all about it until about a month and a half ago. When I started getting into it this time, it took me about a week and a half, and since then I've had about one a week.
Before you start focusing on getting lucid dreams, you should focus on getting a great recall by keeping a dream journal and writing your dreams down right when you wake up. Once you wake up, try moving as little as possible to gather your memories from your dreams, then once you think you've got them, write them down. If you commit to this and to doing regular RCs, you'll be lucid in no time at all.
Also, once you start to get deeper into it, you can learn to do the various WILD and DILD methods such as FILD, VILD, MILD, WBTB, etc. You can find all of the tutorials for these in the tutorials section.
Good luck on your dreams!
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