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My personal rule, and this comes from doing 8-bit games in specific engines like the PAWs, is never to use a press_any_key in an instance when you return straight to the command line. It just feels and looks very odd to me. A lot of that is just down to what I'm used to after playing old-school text adventures for years (and years).

If you want to return to the command line, without clearing the screen, then I would use a pause instead. It allows the reader to take in the text in chunks, or at least appreciate they are chunks of text.

As Chris said, I often use press_any_keys between short lines of text when I want to deliberately build tension or create timing and space for the punchline of a joke. Even then, I always follow my own rule of terminating any such delivery with a clear screen/redescribe.

(Rules are there to be broken. You should feel free to develop your own style. This is just what a lot of older players will be used to.)

The : stagger ""; command will place press_any_key events between paragraphs, but not after the final paragraph (if there is just one paragraph, there are no press_any_keys). For large amounts of dialog, without any beeps inbetween, stagger is the lazy way to do it. 

Agree with Gareth. Returning to the command line after a final press_any_key without a screen refresh just feels wrong to me.