Selection.InsertParagraph (Word)

Replaces the specified selection with a new paragraph.

After using method, the selection contains the new paragraph. If you don't want to replace the current selection, use the Collapse method before using this method. You can also use the InsertParagraphBefore or InsertParagraphAfter method to insert a new paragraph before or after a selection.

With Selection 
 .Collapse Direction:=wdCollapseStart 
 .InsertParagraph 
 .Collapse Direction:=wdCollapseEnd 
End With