How to use jQuery to prevent the space key from entering a space?

I thought it would be a simple thing to hijack the space key when in a form input so that it would function like a hyphen. Generally jQuery makes stuff like this really simple.

The code I tried is this:

        $("#StreamUrl").keydown(function (e) {
            if (e.keyCode == 32) return 109;
        });

But this has no effect whatsoever. I tried a more simple script:

        $("#StreamUrl").keydown(function (e) {
            //if (e.keyCode == 32) return 109;
            alert(e.keyCode);
        });

This script correctly alerts 32 on space press and 109 on hyphen press. Also, I have no JavaScript errors.

Why wouldn't if (e.keyCode == 32) return 109; work? When I replace that line with if (e.keyCode == 32) alert("space!!"); I get the alert correctly, so I know the if is returning true correctly.

What gives?

Edit - Solution

Thanks to @Nick for pointing out the copy-paste issue. I ended up with a little bit of a hybrid. Here's the code that I have gotten to work which is both smooth and handles Copy/Paste.

        $("#StreamUrl").keydown(function (e) {
            if (e.keyCode == 32) {
                $(this).val($(this).val() + "-"); // append '-' to input
                return false; // return false to prevent space from being added
            }
        }).change(function (e) {
            $(this).val(function (i, v) { return v.replace(/ /g, "-"); }); 
        });