Try formatting with Shift+Enter instead of Enter. That gives you a line break within a paragraph instead of a separate paragraph. You will probably still have to manually remove the line break in your table of contents, but you will not have two entries. i.e., you will have:

Chapter 1:
Introduction...................................... .page number

That will all be one paragraph in the TOC and you can simply remove the line break at the end of the first line and replace it with a space. If you want, when you finish your final copy you can update the TOC and unlink it (Select it and press Ctrl+6) then with it still selected use replace to replace ^l with a space in the selection.

For more on TOC generation, see How to create a table of contents in Microsoft Word and Generating a Table of Contents - Complex Documents.

Since you mention you are doing your thesis, a gratuitous word of warning. Do NOT use the Master Documents "Feature" to compile your thesis.