'Tis indeed possible, although it's semi-kludging. You should first set the movement to Manual instead of Player controlled. Then, make an event like
[code:1atjayrp]Upon key UP ARROW pressed: move "Sprite" -2 vertically[/code:1atjayrp]
...And just do that for all the directions. When you hold the button down, you will still only move 1 space.
Remember to make it "upon key pressed" and not "key is down," otherwise you'll have the same problem you do now.