Punctuate it as you would normally, using a question mark, for instance, to indicate a question. I'm going to the store now. Note that the whole of what is said is in one set of quotation marks.
Tags can appear in the middle of what is spoken.
Sally looked at me quizzically. I'm tired, I have a headache. You might notice, too, that you don't need to use a tag on every occasion of speaking. Once the speakers are identified, you can get away with leaving the tags off - as long as it doesn't become confusing.