I can't really put it into words but I just randomly (?) have this thought of "certainly not" and have the feeling of "this has got to be a bad dream... Oh wait, it's actually a bad dream, why am I still here at all".
It really sucks for nightmares. I heard about someone else with the same thing, they were prescribed sleeping tablets and told to use a sleeping bag if sleeping above ground floor (for fear that the dream might make him jump out of a window
I don't think accidentally hurting oneself is a likely outcome though as these dreams only happen when you're very close to full consciousness on the way to sleep or wakefulness, and they dispel quickly after you start being active