I always advisde people to leave lines between paragraphs of their personal statements. Contrary to what the previous posters have said, you cannot use an indent, as all such formatting is removed by the UCAS system, and leaving paragraphs without lines between them leaves your PS as an unreadable block of unrelieved text guaranteed to give the admissions tutor a headache and to put him or her in a bad mood. You don't want that, do you?
I have yet to see a PS submitted for review that wouldn't benefit from losing sufficient material to allow blank lines.