I'm using CS5.5, so this may work differently in newer versions. I can't find a way to have it look the way you want automatically. There is a way to insert a tab into the space between the number and the beginning of the text, but I don't see a way to insert a line break. Maybe someone else can tell you how.
If you want, you can do it in a second step with Find/Change. Just enter ^p in the Find field (to look for paragraph returns) and ^p^n in the Change To field (a paragraph return followed by a line break). It will turn this:
Please also notice that it didn't do the first item, because it was not preceded by a paragraph return. You will have to do that one manually by placing the cursor before the first character and using Shift Return. Be careful that you only convert the returns in the list (and not your whole document) by using the Change or Change/Find buttons, and not the Change All.
Might be better to do this with GREP...
Search for ^. with the find format set for the numbered list's paragraph style, then change to \n$0 and only the numbered paragraphs will change, and you won't need to do anything manually.
Personally, I would do this in two different paragraph styles.