Final Draft 10 / 9: Press Enter / Return when the blinking cursor is somewhere in a line of text (pressing Enter / Return at the end of a line will insert a new paragraph).
Final Draft 8 / 7: Press Shift + Enter / Return.
To create extra space between two paragraphs, not use this keyboard shortcut. Instead, place the blinking cursor in the second paragraph, go to Format > Space Before and choose the number of blank lines that will be inserted above the second paragraph.
To insert an extra blank line between all scenes, do not use this keyboard shortcut on every scene heading in your script. Go to Format > Elements, choose Scene Heading from the list on the left, click the Paragraph tab on the right and adjust the Space Before setting to whatever you need. This will be applied to all scenes in the script.