Sometimes when I wake up I’ll try to go back to sleep but I won’t quite be able to dream for whatever reason; it’s already the afternoon, it’s too light outside, nature’s call, etc. But I’ll stay in bed and kind of drift into a half-dream state. I’ll be aware that I’m in bed in my room, but my mind will wonder into fantasies that I create. I can change them, but they feel like dreams minus the visuals. Is anyone familiar with this phenomenon? What stage of sleep am I experiencing it under and what do I do to enter a lucid dream from that point?
Yes this sounds awfully familiar. I have never heard of anybody else having the same problem. Especially if I have been doing nothing all day, or of I have been drinking coffee late. It’s like going to sleep, then “missing” the proper sleep state in a way. Maybe its just the first stage of sleep? Sometimes the thoughts will “loop”, or even worse, I might have a song in my head which plays over and over again. 
I would love to know if it’s possible to enter a lucid dream from this.
I believe this is much like the state in which you enter a WILD with. When ever I do WBTB this happens to me also. I often will not see actual visuals, but just kind a mental image of it. Kind of like when you have memories of something that happened to you and you replay it in your head.
This often times will turn into something totally off the wall that doesn’t make any sense at all. Its been awhile since I read anything specific about WILD so I have no idea what the actual state of sleep this would be in.
You may go into SP without noticing it, therefore making you awful close to doing a WILD.
Odd, tho. I never heard of not relaising you’re in SP.
In my case, it’s more like HI superimposed over the normal sights and sounds of the bedroom.
Another things are the “daydreams” we are almost bound to wander off into, when staying still from a long time. It’s like telling myself a bedtime story. 
It would be awesome to wild from that, because it would be possible to make the first scene of the dream consciously!