There are some fonts that have a lot of reserved vertical space. I know that I can adjust that spacing between paragraphs by changing the
leading, and this allows me to move the second line of text until it touches the text above it.
However, changing the
leading has no effect on soft returns (shift+enter).
How can I get the same effect without converting the text to paths?
Leading has effect on shift + enter, and regular enter is spaced (more) by paragraph spacing.
Basically leading is a set measurement doesn't matter whether you did regular enter of shift enter, and If you want to make the space even larger between paragraph (regular enters) then add paragraph spacing
Now if you really want to start working properly for print you have to start working with baseline grid anyway.