I'll be honest, I didn't try. I didn't want to get "lost". Some schools say there is an anchor (ie your body for instance), but once I was in the other room, I couldn't "see" a link. I just followed the hall back to my bedroom.
You might be surprised at the lack of limits, but physical consequences still happen. When you fall, you hurt both in your projection and your body afterward. So if you succeed, you aren't Goku or Neo, take baby steps, and beware of others "airspace"!