The correct answer is “begin a new paragraph”. Here’s an example of bad dialogue, and then good dialogue:
“Hey!” Karen said. “Hey!” Joe replied.
“Hey!” Karen said.
“Hey!” Joe replied.
Notice for every new speaker you start a new paragraph, unlike the first bad example, where the next speaker is just the next sentence. But if you have the same person speaking, you don’t need to make a new paragraph, just the next sentence. Hope this helps! Keep on studying!