Q10 users are fine, as you can press hold ALT and press Enter to start a new line.
Despite knowing that this functionality will appear in BlackBerry 10.2, there are some of us that really want to do this now.
Luckily, JSanders in the BlackBerry Support Forums hit upon a good idea that should keep Z10 users content for a little while.
Open Language and Input in the Settings app
Tap on Prediction and Correction
Tap on Word Substitution (should be just at the bottom of the visible screen when you open Prediction and Correction)
Tap on Add Shortcut in the action bar
In the Original Word box, create a simple pair of letters such as "qq".
In the New Word or Phrase box, just tap the carriage return (↵) to make a new line appear.
Tap Save and close the settings app.
Now that you're done, you can use your two-letter shortcut to create a new line. So for instance to create the message:
You would type
This is qq a new qq message
As you press space, the qq's will be replaced with a new line and you can type away.
Update: I made a small mistake and originally credited this tip to KnottyRope. They are both huge contributers to the support forums though and if you're on Twitter you should follow them both!