When I want to start a new paragrah while texting I see now arrow indicating I can go to a new line.. I see it when I'm on facebook sending a message but that is it.
That depends on the keyboard and the texting app. SwiftKey keeps the Return key (line down, then to the left, with a left-pointing arrow on its left end) in Messaging and GoSMS (that's the keyboard I use and the only 2 texting apps I have, so I can't comment about any other combinations).
Some apps, like whatsapp, have a setting to change the return key action. It could be new paragraph or send the message. Look in the settings for the app that you are having problems.