How to start...
 

I read somewhere recently that the best way to control your dreams and have lucid ones is to tell yourself before you go to bed, "When I start dreaming tonight I will realize it is a dream" or something to that effect.

Does anyone do this? If so, do you find it works to have lucid dreams and the ability to control and navigate your dreams?

Affirmations / suggestions work only when they're made to a receptive subconscious.

To open a communication path to your subconscious you have to get into a light trance (alpha), which can be achieved through (self-) hypnosis, meditation, some chemicals, when it naturally occurs (like immediately before falling asleep, or immediately after waking up), or such.

Would listening to said affirmations on some headphones as you fall asleep work then possibly?

Probably it will be hit-and-miss. I guess your attention will drift away, and the suggestion will miss the narrow window. Try and see.