"Sleep paralysis" occurs whenever we dream. It's only mentioned in connection with lucid dreaming because in non-lucid dreams, states wehre we do NOT know we're dreaming, we aren't aware of our body's state.
As for first steps toward lucid dreaming:
1. While falling asleep tell yourself "When I start to dream I'll become aware that I'm dreaming." Repeat this as you relax your muscles and slow your breathing.
2. When you become aware that you are dreaming, LOOK AT YOUR HANDS! At first they will "distort," probably appearing elongated as you move them up into your field of vision and out, away from yourself, so that you can see them. If that happens, look at anything else for a moment, then look back at your hands. Repeat this practice until you can move your hands around without their image distortring. At that point you can start to "do things" in your dream.
Much of the info above is a restatement of info given by Carlos Castenada (perhaps in Journey to Ixtlan, but I'm not sure of that.)