Several different ways. You should check this out, if you want to go through this in-depth, with lots of helpful tutorials, but I'll summarize in a few ways.

The first thing you can do is to train yourself to do reality checks and look for dream signs. Reality checks can be as simple as holding your breath. If you hold your breath in a dream, you will still be able to breath. These kinds of checks go hand-in-hand with dream signs. Dream signs are objects, people, or places which most commonly present themselves in your dreams. So, whenever you see said objects, people, or places in reality, you do a reality check. Eventually, you will train yourself to do this in a dream. So, whenever you're dreaming, you will do that reality check and realize it's a dream. At that point, you can do whatever you want.

The other way is a little bit easier because you can do it on your first try, if you are motivated enough. It requires no preparation like the other one does, but can be broken much easier. You go to bed like you always do and lay very still. Do not let your mind fall asleep, do not let it wander. Keep thinking about dreaming and dreams. Eventually, you will become numb and will afterwards go into dream paralysis. Dream paralysis is essentially your body falling asleep. It happens naturally, every night but, you are usually unconscious by this point. Now, this is the point at which a lot of people fail. During sleep paralysis, a person may experience auditory, sensory, and hypnagogic hallucination. Some of these include your heart beating really fast (even though it isn't), strange images forming on the back of your eyes and things touching you. From this, one may be terrified and break out of sleep paralysis by wanting to move, or they may become excited of their transition into sleep paralysis and wake their body up by the brain activity. In this method, you directly go into a dream once you pass sleep paralysis.

There's also a variant of the latter method, in which you drink large amounts of water, and set an alarm 1-2 hours before you usually wake up. This will allow you to wake up in the middle of the night, then immediately after, go into sleep paralysis sooner, experience it to a lower degree, and thus increasing the chance of you not breaking it.

EDIT: FORGOT A REALLY IMPORTANT THING: KEEP A DREAM JOURNAL. RECORD EVERY DREAM YOU HAVE, EVEN IF NOT LUCID. A LUCID DREAM IS WORTH NOTHING IF YOU CAN'T REMEMBER IT.