I believe best thing to do would be to ask yourself what are you afraid of?

Are you afraid that you won't be able to get out of a dream to the real world (..I remember I was afraid of that few times during really long lucid dreams), are you scared that you might mess something up, are you scared that someone might hurt you in dream realm, etc?

When you'll understand what exactly you're afraid of, it will be easy for you to think through it with your logical mind, and to see that there is no reason why you should be afraid.

For example, you might be afraid that you won't be able to wake up and get stuck in dream realm, and when you don't consciously realise that this is what you're afraid of, it really seems scary, but when you consciously think about it, you understand that there is no point to be scared by that, because dream will end anyway when your rem period will end, and maybe even sooner if your alarm clock goes off before that, so there is no possibility to get stuck in dream forever.

Hope that helps, and good luck with your lucid dreaming!

P.S.

Here's an article about understanding that fear is illusonary, maybe you'll get some ideas from there:

http://themindalone.wordpress.com/ca...tive-emotions/