>I've done this by carefully sizing the label, turning on WordWrap, and adding spaces at the point I want to break until it wraps to the new line. It does not resize well unless you use a monospaced font.

That sounds like too much work:

_screen.addobject('lblTest', 'label')
_screen.lblTest.Visible = .t.
_screen.lblTest.Height = 28
_screen.lblTest.Caption = 'Line1' + chr(13) + 'Line2'

You can do the same thing at design time on a form.