I understand your problem as I've run into it many times before. However, I disagree as to the solution. I like the fact that SQLyog is not 'feature rich' as some others. It is a tool with the minimum features necessary to do the job. This is an issue that can easily be dealt with in a number of ways. I don't think it is SQLyog's place to fix the problem.
That having been said, have you tried specifying n AND the code for CR ? (Don't know it off the top of my head, sorry.) If SQLyog will not allow you to specify more than 1 code in the line termination box then THIS is an issue they should deal with.
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