Lucy,
Generally I do not share my dreams but after reading your post I had an interesting one last night I thought was worth sharing.
Was having a normal dream then found myself in a bus. Took on the body of a female that was sitting in the front of the bus then I started doing the WILD technique. Became lucid when the WILD seemed to work.
It took me to a place where it was night time, people were dealing old items in a market and one in particular was glowing purple. I was flying over them watching for a bit then flew away and saw a high rise apartment, there were about 3-4 rooms lit up purple which gave me a strange feeling so I kept flying by then I came across a room that was lit up white. Flew into the room and there was some one contorted underneath a blanket the impression I got was they were chained up. Looked around on the floor and there was a glowing white phone close by. I grabbed it and broke it into pieces, it flashed disconnected then I flew out of the window shortly after something started chanting oms. A shrine with 4 drinks showed up in a flash at arms length, I drank two and left two. Flew away and there were beings trying to jump up and grab me I landed on a roof nearby, went to sleep and woke up in my bed.
This confirms to me that falling asleep inside of a lucid dream will wake you up to your physical body. Hope that is a handy technique you can use in the future if you ever feel afarid in a dream.