There are multiple threads on the forum dealing with this - search for them.
One simple way to do it, if you want to do automatic line wrap, would be to calculate the width of the string word for word until the length is too long, then back up one word and draw that substring. Then move down one line on the screen and continue the process with the remaining string.
If you just want a newline at a specific spot, then just cut the string into two pieces at that point and draw the two strings on two lines.
In any case, SFML won't do it automatically for you. You have to implement your own line wrap algorithm.