Last year, I was walking near a sports ground a couple of miles from where I live. Someone came up and started talking to me about something extremely odd, and I wondered what was going on. I thought to myself, "Am I dreaming?" So I asked her about the papers she was carrying, and if I could look at them. She gave me one to read, and when I looked at it a second time it was different. I realized that I was dreaming, so I decided to change where I was - suddenly I was in my childhood home, as it was about 30 years ago.
I just made the decision to do things that I knew I could do, and it happened. I think I eventually even visited a Star Trek set. (Nerrrrrrd.)
Didn't really try to fly, I just changed the situation I was in from "I'm in a room," but I imagine that I could change it to "I'm in the air, and there's no gravity," without a shock sufficient to wake me up.
I've only managed it twice, myself, the first time I woke up because I was so surprised that I was aware in a dream. I want to try it again, so I can see what limits I have before I wake myself.