I've done it before... most of the time when it happens, it's right before I'm supposed to wake up (like I might hear the alarm go off in the back of my mind), or after I wake up and go back to sleep because I want to finish the dream I was having.
At least once I was disappointed during teh dream, because I wanted to finish a dream, but I knew that I could now make anything I wanted happen. Knowing that, I pretty much tried to make things progress as I thought they would have.