I often paste in multi-line sql statements from elsewhere directly into the sqlite shell. But when I want to run that command again later, the command history only allows me to select a single line from the command history. I suggest using the technique described here [1] to convert the newlines in the command before storing them in the history.
[1] http://stackoverflow.com/questions/161495/is-there-a-nice-way-of-handling-multi-line-input-with-gnu-readline

