Select Design, then Paragraph Spacing. Pick which spacing you want (the default is Open) and your document will preview as you hover over the different settings.
If you don't like those options, select Custom Paragraph Spacing and change the numbers under Paragraph Spacing.
Don't want to change the spacing in the whole document?
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Select anywhere in the paragraph you want to change.
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Go to Layout, and under Spacing, select the up or down arrows to adjust the distance before or after the paragraph. You can also type a number directly.