Well, if Sergeant Taylor is saying that, it should be joined with the previous paragraph in my opinion like so:
Sergeant Taylor threw up his hands. “We already know that!”
You only really need the speech tags if you think it might be unclear who's speaking. Likewise, you can have dialog interspersed with prose for an entire paragraph. You know: start with dialog, some prose, then dialog continues etc.
If you have an entire paragraph composed of mostly dialog though and the paragraph ends while the same speaker is talking and he continues on the next paragraph without any prose breaking it up, the punctuation rules change a bit.
While the example is far from perfect, it'll showcase how to punctuate it:
"I knew Bob."
He was the best."
At least I believe the punctuation rules to be like that. So, if I am mistaken (which I don't think I am), then feel free to correct me.
Edit: Actually, might have the " from the end of the first paragraph removed as well, now that I think of it. Trying to look it up.
Got it. Correct punctuation would be:
"I knew Bob.
"He was the best."
I knew it was something like that. http://www.iolani.honolulu.hi.us/Kea...ationMarks.htm