When using a dialogue tag, they are punctuated with commas and double quotations.
"The wind is cold," Karla said.
Karla said, "The wind is cold."
When using action beats, they are punctuated with periods or other end-sentence punctuation.
Karla shivered. "The wind is cold."
"The wind is cold." Karla shivered.
When determining punctuation, note whichever comes closest to the dialogue determines punctuation.
"The wind is cold," Karla said, shivering.
"The wind is cold," Karla said as she shivered.
Karla shivered and said, "The wind is cold."
"The wind is cold." Karla shivered as she spoke.
An em dash is used when self-interruption or dialogue interruption occurs.
"The wind is—"
An ellipsis is used to indicate a character's thoughts have trailed off.
"The wind is..." Karla's thought was halted by the smell of warm apple pie.
Dialogue interrupted by an action beat is punctuated by em dashes outside the quotations.
"The wind is"—Karla turned to the bakery—"cold."
Dialogue interrupted by a dialog tag, followed by an action beat, is punctuated with a comma.
"The wind is," Karla said, turning toward the bakery, "cold."