I've managed it a number of times over the years, usually by accident. I did it last week, as it happens, for a short time. My trouble is going lucid in the first place, then sustaining it when I do.
At the age of five, Skagra decided emphatically that God did not exist. This revelation tends to make most people in the universe who have it react in one of two ways - with relief or with despair. Only Skagra responded to it by thinking, 'Wait a second. That means there's a situation vacant.'