According to Dr Stephen LaBerge, in the morning. Morning is the best time because of timing and wakefulness during sleep. As you know lucid dreaming is associated with REM (Rapid Eye Movement). In the morning, REM is at the peak, both in term of intensity and tendency.
What you do is, you go to sleep at your normal bedtime. Before that you need to set your alarm to go off about an hour and a half before you would usually wake up.
Once you’re awake, get yourself out from your bed. For about an hour and the half, think or read about lucid dreaming. Then go back to sleep with the intention of getting into a lucid dream.
As for me personally, taking an afternoon nap is the easiest way to slip into a lucid dream. And I use Wake Induced Lucid Dream (WILD) technique.