If you're sending the story inside of an e-mail, then that's the standard way to do it, same as you'd put spaces between paragraphs on a message board.
In a regular separate file, nope. Just press enter, tab over, start your new paragraph. And then when you reformat it to put a line between every line (double-spaced) then it'll have a line between paragraphs. You don't need too much white space, so limit to that.