Make a commonsense decision, and follow Chicago 's rhetorical advice. Remember what use you made of it, and give enough information to help your reader retrieve it. I recommend following this style, which will involve incorporating the bibliographic information into the text. If you know what style you are supposed to be following, you can follow the link from the Online Writing Lab homepage to guidelines for citation in MLA or APA style. Capitalize the first letter of the quote.
Syntactic dependency runs in two directions.
In the example you give, the clause needs the completion of its direct object quotation more than the quotation needs its introductory clause. The rule is to capitalize the first letter if the quotation is not syntactically dependent on the rest of the sentence. But when the quotation is not syntactically dependent on the rest of the sentence, the initial letter is capitalized. The sentences that concern you are of the type of the very last of these examples. It's a long preposition, but it's a preposition nonetheless.