I have found that if I eat right before I go to bed, the chance that I have a nightmare is greatly increased. I have no idea why that would be. Anyone else have that happen to them? Personally, I wouldn't assume that the 'clothes always underneath' thing has to do with frustration with yourself. I don't know if there is much good evidence for dream metaphors. A bedtime slice of pizza might make me dream that I can't escape a well, but I'm not sure if that's my feelings of helplessness or indigestion. Maybe in your lucid state, you are simply aware of the covers that remain on you.
A good way to Lucid Dream is to eat cheese put on some ambient music and go to bed in the middle of the day around 3. You will drift in and out of semi sleep and if you can get used to it you will be able to manipulate your dream it takes practice.
I've heard her tell me, more than once, how, after noticing it was all a dream, she would give up on the "plot" of it to go out and explore that world. She would open a book and peruse it, until she reached a point where all the pages were blank or she would go a certain door and open it, but there would be just white beyond.