When you are writing do you go down a line everytime you speak?
e.g.
The house was cold.
"Help" I screamed.
or
The house was cold. "Help" I screamed.

This is an excellent question.

The simple answer is that there is a lot of leniency on this subject. Use whichever method suits the flow of your prose (or the space available).

I would however condone a new line for each new speaker:

Quoting Dialogue

When you write or quote a dialogue, use quotation marks for the words of each speaker. Signal each shift in speaker by beginning a new paragraph, regardless of the quotation’s brevity.

"I hope you’re not much tired?" she said at last.
"Nohow. And thank you very much for asking," said Tweedledum.
"So much obliged!" added Tweedledee. "You like poetry?"
"Ye-es, pretty well—some poetry," Alice said doubtfully. "Would you tell me which road leads out of the wood?"

Thanks sooooooo much now I understand.