Пример

public static void main( String[] args ) {
FileWriter fw = null;
try {
fw = new FileWriter( "LineSeparators.txt" ); //$NON-NLS-1$
fw.write( "Здравствуй, мир!" ); //$NON-NLS-1$
fw.write("\n");//$NON-NLS-1$
} catch ( Exception e ) {
e.printStackTrace();
} finally {
if ( fw != null ) {
try { fw.close(); } catch ( Exception e ) {}
}
}
}

Решение
Используйте System.getProperty( "line.separator" ).

public static void main( String[] args ) {
FileWriter fw = null;
try {
fw = new FileWriter( "LineSeparators.txt" ); //$NON-NLS-1$
fw.write( "Здравствуй, мир!" ); //$NON-NLS-1$
fw.write( System.getProperty( "line.separator" ) ); //$NON-NLS-1$
} catch ( Exception e ) {
e.printStackTrace();
} finally {
if ( fw != null ) {
try { fw.close(); } catch ( Exception e ) {}
}
}
}