Yep, just hit return instead of space. If you're just starting out writing in kana this can trip you up, since Japanese is usually written without using spaces, with the distributed kanji and punctuation serving to differentiate words. It's hard (or impossible) to read kana-only without spaces, though, so if you "just type" you'll end up kicking in the automatic kanji substitution instead of getting a space.
You need to get into the habit of hitting return-space instead of just space. Either that, or learn enough kanji that you can muddle through using it by copy-pasting into a dictionary to check that you're getting the one you want.
Side note that even some Japanese typists don't realize: If you want to make sure you get katakana without having to rely on hitting space and having it automatically substituted for a loan word (say, biiru), you can just hold down shift--much faster than using the menu to switch to all-katakana input.
Also, to get sub-characters (mainly the small tsu used to mark double consonants--not sure what it's officially called), type an "x" before it. So xtsu gets you a mini-tsu. "xa" will give you a mini-a, such as when writing "fa" as "fu" + mini "a."
