Yes, lucid dreaming is real.

What you do first once you become lucid is completely up to you. If you have never experienced it before, you might like to fly. On the other hand, you might want to get ahead of the game and instead just pause, take in all the detail you can, and marvel at the fact that your mind created all the magnificent things you see in your dream, and then go for a flight. In my experience, taking in some detail first will enhance the experience.