Check statement A:

Sulphur exists in different molecular forms in vapour depending on temperature.

• At relatively low temperatures (around $200^\circ\text{C}$), sulphur vapour contains mainly $S_8$ ring molecules.

So, A is correct.

Check statement B:

As temperature increases, larger sulphur molecules break into smaller ones.

• Around $600^\circ\text{C}$, sulphur vapour consists predominantly of $S_2$ molecules.

So, B is correct.

Check statement C:

The statement says: The oxidation state of sulphur is never less than $+4$ in its compounds.

This is false because sulphur shows many oxidation states less than $+4$.

Examples:

• In $H_2S$, oxidation state of sulphur is $-2$
• In elemental sulphur, it is $0$
• In $SO_2$, it is $+4$
• In $H_2SO_4$, it is $+6$

Since sulphur can have oxidation states such as $-2$, $0$, $+2$, etc., the statement is incorrect.

Check statement D:

The molecule $S_2$ is analogous to $O_2$ in electronic structure and has unpaired electrons.

Therefore, $S_2$ is paramagnetic.

So, D is correct.

Conclusion:

The incorrect statement is: $\boxed{\text{C}}$