No, it's nothing to do with 3d or 4d... lucid dreaming is when you become aware during your dream that you are dreaming and you are able to somewhat control what's happening.
It's still just a dream... you're able to maintain some semblance of consciousness.
It's not dangerous. It can be a lot of fun. One woman who liked to binge lost a lot of weight lucid dreaming because instead of eating in her waking hours she'd binge in her dreams.
I started having lucid dreams as a kid so I did my research and learned to do it on command. As long as I'm not too exhausted I can live out a dream adventure. It's pretty cool.