newlines/escaping in regexes in vi

Regexes in vi make me sad sometimes. I discovered today that when I wanted to replace all instances of:
||
with:
|
|
the correct command wasn't
:%s/\|\|/\|\n\|/g
but rather:
:%s/||/|<ctrl-v><ctrl-m>|/g
... where <ctrl-v> literally means "hit ctrl-v".