I've always done them in Word by setting a margin and pressing Enter for a new paragraph. When I loaded my novel on Authonomy, the indents disappeared. I noticed that some books on there have indents, and worked out why: it's because their authors used Tab instead. I did some research. Not much information out there, but one editor said using Tab made it easier for an editor to adjust the formatting.
Should I change with my new novel? (Too late to alter the old ones. Can you imagine going through 80,000 words of text, switching the indent on each paragraph? Aaagh.) So I asked the advice of two writers whose opinion I respect. One said yes, the other no. I went on with the fretting, as my novel grew.
Today I was reading about epublishing, which has arrived in America but not yet here. It's probably going to be big in the future. I took a look at Smashwords, and on their style guide it says, among other things: DO NOT USE indents made with spaces or tabs (the most common bad habit of all authors).
So now I know.