I think that subordinating conjunctions can be used at the beginning of sentences, if they are followed by independent clauses. For example, "But, my friend, she was killed in the kitchen with a candlestick."
I also believe that this should be done for dramatic reasons; this shouldn't be done frequently. Also, I recommend to my students that they consider substituting that subordinating conjunction with a conjunctive adverb.
So please refrain from comments about the correctness of subordinate conjunctions. My question to you is if we should or must write a comma after the subordinating conjunction that begins a sentence. Do we do this every time? I have suggested this to students in the past as a way to remind them that the comma should be followed by an independent clause.