There is no automatic way to do this because Word does not see this as a new paragraph but merely a continuation line.
You will have to set a tab and manually indent.

You could wait until you are done with your project and replace line breaks with a line break followed by the tab character (^t) if you do not use a manual line break for anything else.

You could also record a macro and assign it to Ctrl+Shift+Enter to do a Manual line break followed by a Tab character. I would save the macro and keyboard shortcut in your document (which then will have to be a .docm). Once you are done, if you are sending it out, you can save it as .docx.