I would use this method:
char msg[] =
"Line 1\n"
"Line 2\n"
"Line 3\n"
"And so on...";
Looks nicest IMO. You cannot use operators (msg3 = msg1 + msg2) with cstrings. You need to use strcat for that. But in the arduino world you will hardly need string concatenation - just print the strings separately instead:
Stream.println(msg1);
Stream.println(msg2);
This is more efficient and uses less memory.