If I am correct you do not want to use new lines in order to increase the height of the dialog window.
There is no difference how to do it, it is the same as with all other widgets, just use the set_size_request
method. Also whenever you have such problem just tell php to get what methods are there avaiable.
So for this example you would use this to get all methods:
file_put_contents("out.txt",print_r(get_class_methods($dialog),true));
This is a full example that set the size as you want it:
<?php
$window = new GtkWindow();
$window->set_size_request(400, 600);
$window->connect_simple('destroy', array('Gtk','main_quit'));
$message = '<b>DO I NEED</b> A LONG STRING TO <b><span foreground="blue"> '.
"DISPLAY IN THE DIALOG?</span></b>
";
$dialog = new GtkMessageDialog($window, Gtk::DIALOG_MODAL,
Gtk::MESSAGE_QUESTION, Gtk::BUTTONS_YES_NO, null);
$dialog->set_size_request(600,400);
$dialog->set_markup($message);
$answer = $dialog->run();
$dialog->destroy();
if ($answer == Gtk::RESPONSE_YES)
echo "So I need it.";
else if ($answer == Gtk::RESPONSE_NO)
echo "I see, I don't need it.";
else
echo "Choose something.";
$window->show_all();
Gtk::main();
?>