I've never heard of a study of whether improving skills via lucid dreaming works.

Two things that make me really want to learn how to do it, are free sex and improving my social skills by getting into unusual social situations that I couldn't try in waking life. I have heard anecdotal accounts of people using lucid dreaming for these purposes.

By the way, this is a really good book on lucid dreaming on the SIAI library thing account: http://www.amazon.ca/Exploring-World-Dreaming-Stephen-Laberge/dp/034537410X