Can you tell me if I am sleeping ? How to wake up ?
You cannot feel pain in your sleep, so if you want to check, stab yourself with a sharp object (knife, pen, etc).
EDIT: i would also suggest leaping out of window, but that can actually be PAINLESS so screw that
It's not true, in a dream you can feel pain. Everything that happen around you feels normal. Nothing can tell you that you are dreaming unless you start to believe you are dreaming.
I would argue but I cannot find any good sources at this moment

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Even if I get mutilated in my dream I do not feel physiological pain. Be it a bitten off arm, or a shiv in my back. It's shocking, but not painful. Real pain, like cramps while you are sleeping - you will definitely feel those and and wake up to them.
You don't get to wake up from smelling things in your dreams though, like from smoke in a fire. But you may imagine smelling something during a dream sequence.