GREP find replace help

I want GREP to put hard return before [space]anydigit.[space]

I'm working on a job with 129 footnotes that are all running-in together, that is: No line breaks.
I made a Find/Replace command that looks like:

Find:  \d. 

Replace:\r\d. 

It finds the places where I have to break the lines, but it is replacing my footnote numbers with the characters " \d "
Does anyone know how I can keep the character but get a hard return before it?

Thanks in advance!