Usually when I want to wake up I either fly really high (if I'm lucid) or I just wake up automatically from getting too scared.

also when i was really young i always had a rainbow in my dreams and i would walk under it to wake up or go onto my next dream
That reminds me... when I was really young I would dream about that creature from Night on Ball Mountain (in Fantasia), and at the beginning of every dream I'd float into it's mouth and at the end I'd come back out again. And sometimes I'd see it looking at me from halfway up the stairs in the shadows Lol, less pleasant than a rainbow.