I Experience Lucid Dreams

For me it happens very regularly. But rarely do I ever choose to continue the dreams, usually I just close my eyes and say “Wake up” and I am able to escape the dream. It might seam really cool, and overall it is, but every time I do experience these dreams, I never choose to leave my room. I’m terrified to do so, and although it is just a dream, I don’t want to encounter anything bad while in them.
I think my thing is, that I’ve always experienced these dreams, they were okay dreams for years, and then once it got a bit too far.
It was a dark dream, I got scared. And since then every time I experience them, I choose to wake up before taking them too far.