Many REM sleep studies are done on lucid dreamers because they can signal the researchers by moving their eyes during sleep. Most muscles are paralyzed, but its been found that eye movements match the dreamscape. They've used this to determine that "dream time" matches real time for instance, by having lucid dreamers count with their eyes.

Two way communication is theoretically possible by measuring eye movements and signaling back with light flashes, but not sure its been done.

And yeah I have a feeling it affects sleep in some way, especially because being lucid for long periods of time tends to wake you up randomly at night