Begin a new paragraph when there is a new speaker, or when the focus of the narration shifts. Don’t combine dialogue from more than one speaker into the same paragraph.
Use a comma to set a direct address apart from the rest of dialogue.
A little girl is sitting on a train next to a man in black.
“What do you do, mister?”
Taking off his sunglasses with a faint smile, he says, “I make bad people go away.”
It may be better to change the beginning of that last paragraph: Taking off his sunglasses and smiling faintly, he says, “I make bad people go away.” It shouldn’t be confusing here, but the original version could be interpreted as the man using the smile to remove his shades, and that’s just weird.