In Intellij IDEA how do I replace text with a new line?

Use Multiline button, no Regex is needed.

edit: the multiline button is missing since IntelliJ 15, but you can enable it by clicking into the textfield and pressing Alt+Enter or Ctrl+Shift+Enter

Hit CTRL+F and check the regex checkbox. Then search for , and replace it with ,\n.

You need to check the Regex box and use "\n" for the new line character:

For Intellij Ultimate 2017.3 on Mac, command-shift-enter works