However I don't see a problem with writing dialog at the beginning of a paragraph. for example:
"I am scared." said Johnny as he opened the door to the spooky old house. He stared down a dusty hallway, not wanting to set inside.
"Go on inside...this place isn't haunted. You are such a wimp!" taunted Billy.
I wouldn't end a paragraph with dialog though. I would only start a paragraph. Also every new speaker would have a new paragraph, no matter how little they say.