Are sonnet poems supposed to be double spaced?

You can write a sonnet as 14 single-spaced lines. Or you can insert an extra space to separate the octave (the first eight lines) from the sestet (the last six lines). Or you can insert spaces to separate the poem into four quatrains (groups of four lines) and a final couplet (two lines). And those are just three of the options available to you. There's no rule about one "correct" way to lay out the poem on the page. The more sonnets you read, the more you'll learn about the different choices poets have made.