Pressing the Enter key that is part of the Qwerty section of your keyboard (not the one that's part of your number pad), enters the return into a text field.
If you are entering text in the specify calculation dialog, click the ¶ button.
In some cases, you might also use the list function:
List ("line 1 text" ; "line 2 text" ; "Line 3 text" )
will return the text with a return between each one.
The Enter key is actually a carriage return and a line feed. However, the button under Operators works fine for me. I just never though to look for a line feed as an operator.