The trick is – similar to what you would do in
bash, for example – to add a trailing backslash.
charon:~ werner$ python
>>> print 1
>>> print \
If you write a
\, it will prompt you with
... to enter code in the next line, so to say. This is however what automatically happens when you create a function or class definition, i.e. the tiems when you really need a new line, so there's never a really good use for that, or at least none that I know of.
For everything else, you need to write one line after another. The way an interpreter works is that it, well, interprets every line that you feed it. Not more, not less. It will only "act" when it sees a newline, therefore telling the interpreter to execute what you gave it. The single backslash will prevent the interpreter from ever receiving a newline character (i.e. it won't know that you actually pressed Enter), but it will eventually receive one.
Python's interpreter has advanced capabilities when you use GNU readline, such as Emacs or vi-style keybindings to navigate within a line (e.g. Ctrl-A). Those however work only in the one current line. History is there as well, just try and press ↑.
But, apart from that, you probably want to use proper source files if you want to execute more than one line of code at a time.