It's actually pretty easy to train yourself how to do it regularly, should you ever want to. I find it difficult to stay in them though; it's difficult not to get over-excited and wake yourself up immediately. But basically you just ask yourself at regular intervals throughout the day if you're dreaming. Every single day. (and really making sure by counting your fingers and looking at your hands or something) Soon enough the habit carries on into your dreams (for instance, you'll count your fingers and find that your hands look distorted) and voila!
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