Haven't done lucid dreaming in a looong time, but what I always found worked for me: as soon as I realised I was dreaming, I'd look down at my hands and focus on how real they looked, paying attention to the texture of the skin and the lines on my palms, etc.
Focusing like that seemed to sort of help 'anchor' me in the dream.
Slow, calm breathing seemed to help as well.
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