There are two ways of doing that. The option you mention is a bit more hardcore in that it is not designed for any Markdown formatting at all in the writing process. It’s a switch meant for people that don’t write using it, but would like to take advantage of its better output quality. By and large it will escape all punctuation that could be confused with markup. There are ways around that, using styles to pass-thru markup, but that can be a bit of a bother unless you seldom use syntax. For myself anyway, one of the major draws of writing with Markdown is being able to format my text and write at the exact same speed, without stopping and switching to a mouse or having to use menu commands and shortcuts.
The other approach is to tweak two settings in one of the built-in compile Formats, like “Basic MultiMarkdown”, which are largely set up to convert “word processor” style paragraphs to Markdown double-spaced. You just have to turn it on, basically. Here are some instructions written up for a LaTeX template user, so ignore that part of it—the LaTeX project template has the same exact setup in its default compile settings.
And if you’ve already got a format of your own that is more developed, this post here describes how to make this work from scratch. It’s a very simple adjustment, and if that is your main issue with writing in Markdown, it’s a pretty effective way of doing so and gives you a lot more flexibility in how much Markdown you want to use, than the global RTF conversion switch.