Instead of displaying the Properties window, right-click on your new button  and
select Commandbutton Object >> edit  from the menu that appears. Now you can edit
the button text directly on the button. Shift-Enter and Ctrl-Enter both work to
insert a line  break (I tested in Excel 2002 & 2003).

As an aside, the command  button from the Forms toolbar uses a lot less
resources than the command button from the Control Toolbox (but it doesn't have
all the features of the Control Toolbox version).