Personally I find the best sleeping position to induce lucid dreaming is by lying on my right side and pressing my ears gently on the pillow, to muffle the surrounding noise. I find this position increases the chances of becoming lucid is higher.

But if I suddenly wake up from a lucid dream, then I would NOT move from whatever sleeping position I was in then. I quickly close my eyes and recall back where I left off.

At times, if I intend to induce a sexual lucid dream, what I normally do is I squeeze a pillow or a throw cushion between my thighs; letting this soft puffy stuff pressing against my coochie. It works for me.

Update: According to a dream research in Hong Kong recently [August 2012], those sleeping on their stomach are more likely to have wild sexy dreams.