Is this correct? dicunt somnia, sed oblivisci malorum sunt somnia nimis

My suggestion is:

quae per somnia cernantur ferunt vera evenire, immemores somniari et mala.

Literally, this means:

'People say that the things that are seen amid dreams turn out true, unmindful that bad things too are dreamed.'

(The verb evadere, used by Draconis, is a nice alternative to vera evenire. The verb ferunt could also be replaced with dicunt. And, as is very often the case, some rearrangement of the Latin words is possible.)

Analysis

This translation draws on/is cobbled together from various passages from Latin literature where dreams and their fulfillment are discussed.

• One way of expressing the idea of 'nightmare' in Latin is mala somnia ('bad dream,' which, of course, is also an English phrase) – as, for example, in Tibullus, Elegiae, book 2, poem 6, line 37:

  illius ut verbis, sis mihi lenta, veto,
  ne tibi neglecti mittant mala somnia Manes,
  maestaque sopitae stet soror ante torum,
  qualis ab excelsa praeceps delapsa fenestra
  venit ad infernos sanguinolenta lacus.

  '...lest the spirits of the departed, neglected, send you bad dreams,...'

• As for talking about dreams coming true, in Plautus, Miles gloriosus lines 380-381, the character Philocomasium uses the verb evenire ('to turn out') and the phrase hau falsum ('hardly false'), which is essentially equivalent (by litotes) to verum ('true'):

  [Palaestrio] pergin, sceleste, intendere hanc arguere? [Philocomasium] ecastor ergo
  mi hau falsum evenit somnium, quod noctu hac somniavi.

  'Well then, by Castor, the dream that I dreamed this night turned out (to be) by no means false.'

• In Pliny the younger, Epistulae book 7, letter 27, section 12, the verb cernere ('to see, perceive, or discern') is used to talk about the images that are seen in dreams:

  is uisus est sibi cernere quendam in toro residentem, admouentemque capiti suo cultros, atque etiam ex ipso uertice amputantem capillos.

  'He thought he saw someone sitting on his bed, bringing clippers to his head and even snipping the hair from the very top of it.'

• And finally, another way of talking about dreams is to describe them as things seen per somnium or per somnia ('in, through, amid a dream/dreams'), as in Apuleius, Metamorphoses book 1, section 18:

  ad haec ille subridens: 'At tu' inquit 'non sanguine sed lotio perfusus es. verum tamen et ipse per somnium iugulari uisus sum mihi, nam et iugulum istum dolui et cor ipsum mihi auelli putaui, et nunc etiam spiritu deficior et genua quatior et gradu titubo et aliquid cibatus refouendo spiritu desidero.'

  '...But still, I myself also saw myself having my throat slit in a dream...'

The basic idea behind the translation is right, but unfortunately the execution is a bit lacking.

They say…

The standard way to introduce something that "they say" (i.e. talking about something that's common knowledge, rather than something that a particular group of people are saying right now) is inquiunt. Some writers also use the singular for this, inquit, with the same meaning.

…dreams come true…

When using a form of inquam, the thing being said usually gets switched into the accusative-plus-infinitive construction (AcI). This is the same construction used sometimes in poetic or archaic English: search your feelings, you know it to be true.

So literally, you want "…dreams to come true…", as weird as that sounds in English. Cicero expresses this in On Divination 2.LIX.121:

et miramur aliquando id, quod somniarimus, evadere?
And are we amazed if sometimes our dreams come true?

This gives us some good material to rephrase. Because what Latin prose writer doesn't want to imitate Cicero in every aspect?

…but forget…

Oblīvīscor is a good verb, but I'd go with an adjective here, immemor ("not thinking about"). If you used the plural verb earlier, add -ēs to the end here.

…that nightmares are dreams too.

I'm not aware of a Latin word for "nightmare" in the modern sense ("any bad dream"); everything I can find relates to the older sense, of a spirit that causes sleep paralysis, and the modern Romance languages have generally coined their own expressions for the phenomenon (often incorporating Germanic roots in the process).

But, it doesn't seem like too much of a stretch to use the word for the spirit for this. The pure-Latin word is incubus or incubō; the Greek-influenced one is ephīaltēs. Either way, you'd want the genitive plural to represent the thing being forgotten, incubōrum, incubōnum, or ephīaltārum.

All together:

Somniāta, [inquit|inquiunt], evadere, [immemor|immemorēs] [incubōrum|incubōnum|ephīaltārum].
They say that dreams come true—forgetting about the nightmares.

For the first two bracketed parts, either take the first word from both, or the last word from both. For the last bracketed part, take whichever sounds best to you. (And feel free to leave off the lines over certain vowels; they represent a difference in pronunciation that disappeared in later Latin.)