Hi haha,

I can attain lucidity in dreams sometimes, but generally when I do I wake up the same instant into another dream without realizing I'm still dreaming.
That is called a False Awakening (FA). The way to combat this is to simply get in the habit of doing a reality check every time you wake up.

Am I doing something wrong to have to cling to my dream so much and not have a vivid experience? Or perhaps it's something I create where I think "oh, I'm lucid...whenever I'm lucid things get hazy, so here we go let's get hazy
It's normal for excitement in dreams to pull you out and cause you to wake up.
If hazyness is what you expect, that's what you'll get. Have you ever tried saying out loud in the dream, "enhance clarity" or something to that effect. It usually works. Else, try studying in great detail some object or thing in the dream, such as the palm of your hands. Just stare and see how slowly you'll start to notice more and more detail - this can also carry on into the rest of the dream.