Frankly that's a wee bit of my cup of tea since I've dealt with this on occasions.
From my personal experience you can, although can't say if you can control them all the time. If anything what I've been having sensations about proves rather otherwise. It also varies in density of the feelings and what kind it is.
It's something nice and refreshing to awake among, say, some Alpine green scapes with light chill breeze and little fog and feel every ounce of it. It's whole other story to wake up among the battlefield having no control over urge to burn everything around you. It's even worse to feel dying in this dream.
You can also say that lucid dreams are, in a manner, your brain's response to possible frustrations or things that might bother your body or soul while you let yourself to rest with your eyes closed.