Modulate emotions
The first moments of a LD might be all a novice LD’er gets to see - might it be for the excitement, the panic of losing the LD somehow, or not managing to overcome the fear in a nightmare. As you see, it’s mostly about emotions, and you will learn to control both them and yourself in these passages.
Don’t panic - Of course, one can probably learn it by the first LD or so, but emotions play a very powerful role in dreams right form the beginning - and big emotions majorly so. When you realize you are dreaming, remember to stay calm - as it will allow the dream to continue.
Relax - During the first moments of lucidity, even if you didn’t burst in excitement, and managed to stay put, you can still find you’re pretty much hype inside, or shaken if you got lucid from a nightmare. What you need to know is, you most likely got lucid somewhere in the middle of the dream, and thus it can still go on for a long time, but you will need the right frame of mind to avoid losing lucidity or waking up altogether. So, after the first moment, take a second to notice your emotions. The dream will wait for you, the story always waits for the protagonist. Knowing what you feel, it will be much easier to you to get a stable hold of yourself.
Take deep breaths - Now to get a peaceful state of mind, stable foundations from which your dream can become pretty much anything. (If you allow feelings to pass unnoticed, they could later modify the dream and divert your attention - troubling your lucidity.) Take deep breaths, accompanied by mantras of your choice, like “I’m calm” or “I control my emotions”, or a yogic mantra if you are practiced with those. If you know any on-the-spot relaxation technique, they all work pretty well.
Be aware of your dream body - Your dream body is one of the most stable elements in your dreams, as is the most powerful representation of ourselves we possess IWL, so getting to be aware of it can keep one pretty stable into a dream. Get to feel your positions, your senses (explained in another point), your movements, and if you can’t manage, then move around a little, bump into things, force experiences to happen! Streams of information from the dream is what keeps you inside, so get it flowing.
Keep anchored to the dream world - During the whole process, it’s important to keep contact with the dream world, as it keeps us informed of his changes (so you might prevent loss of lucidity) and prevents us from losing the dream state and waking up. This can be easily done by keeping your eyes open, keeping contact with your surroundings by any means you can think of (touch is often used). More explanation on this will come later in the guide. This is also a great way to stay in the dream if you find your eyes closing: just keep listening, grab something (even your clothes) and feel textures, until your sight comes again (remember that it’s not necessary at all for the dream eyes to open, you can just visualize something, even a entirely new scene ^^)
Take it easy - Always remember, if you fear the LD will somehow end (because of either reason, lucidity loss or awakening), it will be that fear to end your LD, and not at all the thing you’re fearing. Experienced LD’ers learn to take it easy, because being confident in their abilities is often all it takes for one to make it going the way they desire. If anything, it’s a dream we’re talking about 
This can be brought to the point of continuing what you were doing upon the realization, to let the transition into lucidity be completely painless for the dream scene, and more gradual, so to avoid bursts of emotions.
Slow down - While doing all this, if you often find yourself losing lucidity instead, you might want to stop what you were doing before you gained lucidity, as you will probably need some concentration the first times to maintain the lucid state. If you are in a nightmare, you could not have the material time to perform all this; however, nightmares often produce spontaneously a higher kind of lucidity, so you might not need most of the modulating practice for those. Nightmares are problems waiting to be solved, and will surely keep you in - since now you can actually be of some help in resolving the issue.
Tips
- If you possess any technique IRL which you use to focus, relax and/or concentrate, you can use that one instead, as it will surely have the same effect in dreams, if not more.
- I know, you are saying right now “But this is enormous! Must I waste minutes of my precious dream every single time i get lucid?” Well, luckily for you, the answer is no: you can indeed learn to modulate your emotions, as well as get any part of the preliminary moments to a LD done, much, much faster, with outside-the-dream practice, that is, while awake. But there is an appropriate chapter for the details.