Hi, lucid dreaming can be a result from meditation practice or happen during qigong. From that perspective, they say dont pay attention when it happens, since it is a distraction... Unless you're training 'dream yoga' meditation on purpose.
But my personal experience with lucid dreaming came separately, after I read an article about it and decided to get a book. I followed the instructions and practiced every day in the afternoon, and got pretty good at it for a while, going right into a lucid state after a few minutes and playing around.
I have dabbled since then very rarely, with moderate success. Was actually thinking recently about getting into a regular practice again.
I would say I dont think there could be any negative side effects to it, and it is highly beneficial and fun to practice. It does require regular effort and I recommend trying in the afternoon when you're relaxed, but not going to fall into a deep sleep. Staying lucid and not falling asleep is the hardest part. Its really important that you repeatedly set your intentions very plainly as you begin, like "I am going to remain aware and conscious as my body falls asleep. I will be able to control my self and my surroundings once I begin to dream, and I will be safe the whole time", and such like that. Have fun!
I especially enjoy the experience of staying aware as my body falls asleep because the transition from normal consciousness into the supersensitive sleep state is really intense.http://en.wikipedia.org/wiki/Dream_yoga