Paragraph Breaks vs Line Breaks
In Ulysses, there's a difference between paragraph breaks and line breaks.
By default, every time you hit return, a new paragraph begins. Empty lines between paragraphs, however, are considered excessive white space which is ignored during export.
But what if you need a line break?

Adding Line Breaks
For the occasional empty line or if you write poetry, you'll need line breaks. You create a line break by pressing shift-return
:
⇧⏎
Formatting marks are invisible by default. If you want to know that you got it right, select the text. Once you've selected your text, you can see the difference: ¶ stands for a paragraph break, ⏎ indicates a line break.