I would imagine there are many techniques but the few times I've been able to do it on purpose I would fall asleep concentrating on an object.  In my case a necklace that I wore to bed.  For whatever reason, concentrating on it brought it out in my dream and reminded me that I was dreaming.    I tend to have dreams about rooms and once I took off flying through them.  Another time I managed to have anything I looked at in the room change if I closed my eyes.  

There is a danger to lucid dreaming though.  If you get really good at it and do it a lot, they say you could experience the inability to differentiate between dreaming and reality.  Personally I think thats a bit of a stretch but I suppose it could happen.  

...... Kendra