I have heard many times that lucid dreams involve all the senses... so if touch is one of them wouldn't you have pain to go along with it? Pain is pretty much part of touch, like if you press your fingers on a desk you will feel it, but when you press too hard it obviously will begin to hurt. I understand that may be a hard thing to explain though, because the senses in a dream might be outrageously different, or not.
Rebecca says: Yes, you can feel pain in a lucid dream - but usually only if your awareness is specifically tuned into that sensation. I can only remember a few times when I've actually felt real pain while lucid dreaming.
For instance, if I jumped off a cliff and landed splat on the ground, it wouldn't necessarily hurt. Chances are, I'm focused on landing softly anyway. In fact, just like we avoid pain in the real world, I wouldn't mind guessing we avoid pain in lucid dreams without really thinking about it.
Even if you let your subconscious guide your lucid dream on your behalf and your dream takes a nasty turn, you can either endure the pain or demand that it stops. If you don't have the level of consciousness to stop the pain mentally, then you're not really lucid anymore and it should be dumbed down to the level of a normal - if somewhat vivid - dream.
The few times I've experienced pain in a lucid dream, it was very different from real pain. It was inconsistent with the cause, and stopped abruptly when the dream moved on. What's more, there was no psychological component, which can make real life pain so much worse.