Note that WinSCP defaults to the Binary mode for many years (almost decades).
So usually one does not need to configure anything.
Anyway, mode can be changed here:
https://winscp.net/eng/docs/ui_pref_transfer > https://winscp.net/eng/docs/ui_transfer_custom
In case you have (mis)configured WinSCP to override the mode for uploads from text editors, change it here:
https://winscp.net/eng/docs/ui_pref_editor > https://winscp.net/eng/docs/ui_editor_preferences

@Guest: Thanks, this did the trick.
You can find it here:
Options > Preferences > Editors > Edit external editor > uncheck Force Text Transfer mode for files edited in external editor
Other way to do it: Preferences > Transfer > Edit Preset Description Text > Transfer Mode > Binary

The solution to this is to change the mode to Binary in the WinSCP preferences. Go to Options >
Preferences and then change the Transfer mode to Binary. If you do that, the newlines won't be changed.

This thread may be old, but it is the #1 search result in Bing for "winscp newline unix to windows conversion" so hopefully this solution reaches additional people who need it.

Thanks for your post. This issue has been added to the tracker:
Issue 204 – Text files are converted to Windows format on upload with FTP.

Hi,
Sorry for my very bad English, I'm a German ;)

I like WinSCP, but WinSCP convert my files automatically from UNIX Format
(source Windows XP) into DOS Format (on destination "dbox" Linux).
Scripts in DOS format don't run on Linux :(
I looked for 3hours now to grant for a solution and found unfortunately nothing, only SmartFTP helped :(

WinSCP V4.10 Build 375
Server Environment is set to UNIX (LF/AUTO)
I used the FTP protocol.

I surveyed something or am there an error in it?

best regards,
Michael