Skepticism is fine. To ask for proof is only smart. Those who deny the evidence, must have some sort of agenda. They are not skeptics, they are fanatics!
But Semantics aside. Bring the discussion down to the core. What are they denying? Consciousness during dreams? That is easy to prove. Without consciousness you cant remember your dreams, ergo, it is possible, because we do remember dreams. If they say that dreams are somehow quickly compiled when you wake up in a flash, they are not only ignoring REM sleep, but also claiming the existance of a strange phenomenon that they can’t prove. It is more than necessary, and therefore Ockham’s razor would shave that theory off.
So consciousness during dreams is possible, but control? Well, having had the experience you could simply say that you know what it is like in both reality and a dream, and that it is the same. The experience of controlling yourself that is. If they deny the experience as proof, they would likewise have to abandon the experience as proof for waking life as well. If they do deny it, then you can still say that dreams and waking life are on the same level, proving that the “control” we feel that we have in waking life, can exist according to our method of identifying it, in dreams as well.
If they claim that dreams are not “real”, then you obviously say that, you are not claiming that dreams happen in physical reality but in the realm of experience. The experience is as “real” as any waking experience, in the sense that it happens, you HAVE the experience. They cannot deny without proof that the experience is equally intense and realistic as waking expriences. But if they do, you should as why it SEEMS that way to you when you have lucid dreams. The only answer available to them is that you imagined it, thus proving your point that the mind is capable of producing experiences that feel as real as real life. If they doubt that, then point out the fact that their brain is creating their current experience based on external stimuli so it obviously has the hardware capability of producing all the senses as they appear to us.
So you have then proved that it is possible to have conscious dreams in which you have control and it feels as “real” as real life. What more can they say? Perhaps that they value physical experiences more than mental ones. You could point out that without the mental experience that comes along with the psycial one, they would have no enjoyment of anything they do. That in fact it is the mental part of the whole affair that they are enjoying, and nothing else. That means that if they still do not value mental experiences, it might as well be someone else doing the things they do and they should be just as happy.
If you’ve come this far and they still think you’re crazy, they obviously can’t be reasoned with.