Ok if you want to carry on using the stock texting app you need a different keyboard cos on the stock and android keyboard the return key basically just sends the text. I use the HTC_IME modded keyboard available form XDA developer Jonasl. The return key on that acts just as a return key and takes you to the next line.
But I also use Handcent too and that is fine with either the stock keyboard or the above one. It seems that this app overides the 'send' function of the return key and takes you to the next line.
Apologies to my husband who has just received 4 variations on the above text!!!